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>

This paper introduces a relative model risk measure of a product priced with a given model, with respect to another reference model by which the market is assumed to be driven. This measure allows a comparison of products valued with different models (pricing hypothesis) under a homogeneous...