Before revision:  Finally,  the flexibility of our method is demonstrated by numerical experiments on max call options in the Black--Scholes model and vanilla put options in  Heston model and the non-Markovian rough Bergomi model.
After revision:  Finally, the flexibility of our method is demonstrated by numerical experiments on max call options in the classical Black-Scholes model, and vanilla put options in Heston model and the non-Markovian rough Bergomi model.