  We consider option pricing in a regime-switching diffusion market. As the
market is incomplete, there is no unique price for a derivative. We apply the
good-deal pricing bounds idea to obtain ranges for the price of a derivative.
As an illustration, we calculate the good-deal pricing bounds for a European
call option and we also examine the stability of these bounds when we change
the generator of the Markov chain which drives the regime-switching. We find
that the pricing bounds depend strongly on the choice of the generator.
