In this paper we recover the Black-Scholes and local volatility pricing engines in the presence of an unspecified, fully stochastic volatility. The input volatility functions are allowed to fluctuate randomly and to depend on time to expiration in a systematic way, bringing the underlying theory...

In this paper, we consider a generalisation of the Hobson–Rogers model proposed by Foschi and Pascucci (Decis Eocon Finance 31(1):1–20, <CitationRef CitationID="CR9">2008</CitationRef>) for financial markets where the evolution of the prices of the assets depends not only on the current value but also on past values. Using...</citationref>