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I need some help.
I'm given $J$ different regimes, each one characterized by its own parameters $(r_i, \delta_i,\sigma_i,...)$ with $i\in \mathcal{J}= \{1,2,...,J\}$ ($r$ = risk-free interest rate, $\delta$ = continuous dividend yield).
For instance, we can have regime $1$ under Black-Scholes model with parameters $(r_1,\delta_1,\sigma_1)$ and then regime $2$ under Variance-Gamma model with parameters $(r_2,\delta_2,\sigma_2,\nu_2,\theta_2)$.
Let $\alpha_{t\{t\in[0,T]\}}$ be the Markov chain taking values $i\in \mathcal{J}$ and $Q := \{q_{ij},1 \leq i,j \leq J\} \in R^{J×J}$ its associated intensity matrix (also known as generator), such that the matrix of transition probabilities is defined as $P(\Delta t)=exp(Q \Delta t)$.
In this framework, I need to price call options in Matlab exploiting the put-call parity, however if $r$ and $\delta$ were constant for all the regimes then, given that $Prices$ is the vector containing the put prices for each regime, I could write \begin{align} & for \ \ j=1:J \\ & \ \ \ \ \ \ Prices(j)=Prices(j)+S0*exp(-\delta*T)-K*exp(-r*T); \\ & end \end{align} where $S0$ is the spot price, $K$ is the strike price and $T$ the maturity.
How can I generalize the put-call parity with $r_i$ and $\delta_i$ depending on state $i$? Any help will be highly appreciated.

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