A paper that it will be interesting to reproduce with a new simulation approach: Shu Lin Zhang, De Yu Feng, Shu Ping Wang, "Option Pricing under Unknown Volatility: An Agent-Based Modeling and Simulation Approach," icife, pp.130-134, 2009 International Conference on Information and Financial Engineering, 2009.
Two thesis discussing the paper:
Matteo Bordone Molini, Simulazione ad agenti per l’analisi economica: pricing di derivati in condizioni di incertezza;
Eni Rrema, Agent-based models review for option pricing.