The impact of market frictional costs on pricing insurance and financial products in a regime-switching environment has not been well-explored. This paper introduces a general pricing model for European options which incorporates market frictional costs, regime switches and model uncertainty. Regime switches are due to changes in an economic environment. Model uncertainty is attributed to misspecification of transition intensities for economic regimes. The selling and buying prices of a European option are determined through stochastic optimal control and nonlinear partial differential equations. A fair value is determined by a closed-form solution to a minimization problem based on a relative entropy. The fair value is consistent with the one obtained using the Esscher transform, which is an important tool in actuarial science. Numerical methods and results for implementing the pricing model are presented. The results indicate that after controlling for the model uncertainty, market frictional costs are more significant than regime switches in accounting for the fair, selling and buying prices.

在政权转换环境下，市场摩擦成本对保险和金融产品定价的影响尚未得到充分探讨。本文介绍了欧式期权的通用定价模型，其中考虑了市场摩擦成本、制度转换和模型不确定性。政权更替是由于经济环境的变化。模型的不确定性归因于经济体制转型强度的错误指定。欧式期权的卖出和买入价格是通过随机最优控制和非线性偏微分方程确定的。公允价值由基于相对熵的最小化问题的封闭式解决方案确定。公允价值与使用埃舍尔变换获得的公允价值一致，埃舍尔变换是精算学的重要工具。给出了实施定价模型的数值方法和结果。结果表明，在控制模型不确定性后，在考虑公平价格、销售价格和购买价格时，市场摩擦成本比政权转换更为重要。