Abstract: In this paper, it is assumed that the underlying is a Markov skeleton process (abbreviated MSP): this process can be better reflecting the instability of the financial market. Using the properties of Markov skeleton process, the characteristic function of the price process is given, combined with fast Fourier transform (FFT) method, the pricing formula of derivatives under the Markov skeleton process is given. The results of this paper can be applied to price other financial derivatives, and it enriching the pricing theory of financial derivatives.