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In the complete model with stochastic volatility by Hobson and Rogers, preference inde- pendent options prices are solutions to degenerate PDEs obtained by including additional state variables describing the dependence on past prices of the underlying. In this note, we aim to emphasize the mathematical tractability of the model by presenting analytical and numerical results comparable with the known ones in the classical Black-Scholes environment.

On the complete model with stochastic volatility by Hobson and Rogers