A. Badescu and R. Kulperger, GARCH option pricing: A semiparametric approach, Insurance: Mathematics and Economics, vol.43, issue.1, pp.69-84, 2007.
DOI : 10.1016/j.insmatheco.2007.09.011

A. Badescu, R. Kulperger, and E. Lazar, Option Valuation with Normal Mixture GARCH Models, Studies in Nonlinear Dynamics & Econometrics, vol.12, issue.2, pp.1-40, 2008.
DOI : 10.2202/1558-3708.1580

URL : https://www.degruyter.com/view/j/snde#fancybox-most-downloaded-articles

O. Barndorff-nielsen and N. Shephard, Modelling by Lévy processes for financial econometrics, in Lévy processes -Theory and Applications, pp.283-318, 2001.

F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-659, 1973.
DOI : 10.1086/260062

M. J. Brennan, The pricing of contingent claims in discrete time models, The journal of finance, pp.53-68, 1979.

P. Christoffersen, S. Heston, and K. Jacobs, Option valuation with conditional skewness, Journal of Econometrics, vol.131, issue.1-2, pp.253-284, 2006.
DOI : 10.1016/j.jeconom.2005.01.010

C. Chorro, D. Guégan, and F. , Ielpo (2010a) Option pricing for GARCH-type models with generalized hyperbolic innovations

C. Chorro, D. Guégan, and F. , Martingalized historical approach for option pricing, Finance Research Letters, vol.7, issue.1, pp.24-28
DOI : 10.1016/j.frl.2009.11.002

URL : https://hal.archives-ouvertes.fr/halshs-00437927

C. Chorro, D. Guégan, and F. Ielpo, Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes, SSRN Electronic Journal, pp.2010-67, 2010.
DOI : 10.2139/ssrn.1646903

URL : https://hal.archives-ouvertes.fr/halshs-00523371

J. C. Duan, THE GARCH OPTION PRICING MODEL, Mathematical Finance, vol.6, issue.1, pp.13-32, 1995.
DOI : 10.1016/0304-405X(87)90009-2

E. Eberlein and K. Prause, The Generalized Hyperbolic Model: Financial Derivatives and Risk Measures, Mathematical Finance-Bachelier Congress, pp.245-267, 2000.
DOI : 10.1007/978-3-662-12429-1_12

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.25.6852

R. Elliott and D. Madan, A Discrete Time Equivalent Martingale Measure, Mathematical Finance, vol.8, issue.2, pp.127-152, 1998.
DOI : 10.1111/1467-9965.00048

URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.53.4656

T. Fujiwara and Y. Miyahara, The minimal entropy martingale measures for geometric L???vy processes, Finance and Stochastics, vol.7, issue.4, pp.509-531, 2003.
DOI : 10.1007/s007800200097

H. Fôllmer and M. Schweiser, Hedging of Contingent Claims under Incomplete Information Applied Stochastic Analysis, pp.389-414, 1991.

H. U. Gerber and S. W. Shiu, Abstract, Proceedings of the 4th AFIR International Colloqium, pp.659-689, 1994.
DOI : 10.1111/j.1540-6261.1987.tb02569.x

H. U. Gerber and S. W. Shiu, Option Pricing by Esscher Transforms, pp.99-191, 1994.

J. Harrison and D. Kreps, Martingales and arbitrage in multiperiod securities markets, Journal of Economic Theory, vol.20, issue.3, pp.381-408, 1979.
DOI : 10.1016/0022-0531(79)90043-7

S. Heston and S. Nandi, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, vol.6, issue.2, pp.327-343, 2000.
DOI : 10.1093/rfs/6.2.327

S. Heston, A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options, Review of Financial Studies, vol.6, issue.2, pp.327-343, 1993.
DOI : 10.1093/rfs/6.2.327