Before revision:  We further eliminate the first-order derivatives associated with the regime-switching model by taking derivatives to obtain a system of coupled partial differential equations which we called the asset-delta-gamma-speed option equations. The fourth-order compact finite difference scheme is then employed in each regime for solving the systemof the equations.
After revision:  We further eliminate the first-order derivatives associated with the regime-switching model by taking derivatives to obtain a system of coupled partial differential equations which we called the asset-delta-gamma-speed equations. As such, the fourth-order compact finite difference scheme is then employed in each regime for solving the systemof the equations.