中文摘要：

我们考虑一种关联选择的估价，一种欧洲电话选择的二因素的类似物，在有政体切换的一个壳白人利率模型下面。更明确地，模型参数被看得见的、连续时间的、有限状态的 Markov 链调制。我们由采用措施变化和反的 Fourier 变换的技术为关联选择获得一个不可分的定价公式。经由快 Fourier 变换，数字分析被提供说明我们的模型的实际实现。

英文摘要：

We consider the valuation of a correlation option, a two-factor analog of a European call option, under a Hull-White interest rate model with regime switching. More specifically, the model parameters are modulated by an observable, continuous-time, finite-state Markov chain. We obtain an integral pricing formula for the correlation option by adopting the techniques of measure changes and inverse Fourier transform. Numerical analysis, via the fast Fourier transform, is provided to illustrate the practical implementation of our model.