S. Aboura, GARCH Option Pricing Under Skew, SSRN Electronic Journal, vol.4, issue.6, pp.78-86, 2005.
DOI : 10.2139/ssrn.459641
URL : https://hal.archives-ouvertes.fr/halshs-00153119

H. Amilon, A neural network versus Black-Scholes: a comparison of pricing and hedging performances, Journal of Forecasting, vol.14, issue.4, pp.317-335, 2003.
DOI : 10.1002/for.867

J. Bennell and C. Sutcliffe, Black-Scholes versus artificial neural networks in pricing FTSE 100 options, Intelligent Systems in Accounting, Finance & Management, vol.28, issue.4, pp.243-260, 2004.
DOI : 10.1002/isaf.254

F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, vol.81, issue.3, pp.637-654, 1973.
DOI : 10.1086/260062

B. J. Blair and S. H. Poon, Forecasting S&P 100 volatility: the incremental information content of implied volatilities and high-frequency index returns, Journal of Econometrics, vol.105, issue.1, pp.5-26, 2001.
DOI : 10.1016/S0304-4076(01)00068-9

L. Canina and S. Figlewski, The Informational Content of Implied Volatility, Review of Financial Studies, vol.6, issue.3, p.659, 1993.
DOI : 10.1093/rfs/5.3.659

B. J. Christensen and N. R. Prabhala, The relation between implied and realized volatility1We thank Interactive Data Corporation for providing the option price data used in this study, and David Bates, N.K. Chidambaran, Young???Ho Eom, Steven Feinstein, Stephen Figlewski, Ken French, Will Goetzmann, Bob Jarrow, Nikunj Kapadia, Cheng???Few Lee, K. Geert Rouwenhorst, Chris Sims, Suresh Sundaresan, Zhen Yu Wang, seminar participants at the American Finance Association, Boston University, European Finance Association, Financial Management Association, and the Cornell???Queens Derivative Securities Conference for useful comments. We are also grateful to G. William Schwert (the editor) and an anonymous referee for very extensive and helpful feedback.1, Journal of Financial Economics, vol.50, issue.2, pp.125-150, 1998.
DOI : 10.1016/S0304-405X(98)00034-8

R. Cont and J. Da-fonseca, Deformation of implied volatility surfaces: an empirical analysis, Empirical Approaches to Financial Fluctuations, 2001.
DOI : 10.1007/978-4-431-66993-7_25

R. Cont and J. Fonseca, Dynamics of implied volatility surfaces, Quantitative Finance, vol.3, issue.1, pp.45-60, 2002.
DOI : 10.1080/13504869700000001

T. E. Day and C. M. Lewis, Stock Market Volatility and the Informational Content of Stock Index Options, Journal of Econometrics, vol.52, issue.1, 1992.

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

J. C. Duan and J. G. Simonato, Empirical Martingale Simulation for Asset Prices, Management Science, vol.44, issue.9, pp.1218-1233, 1998.
DOI : 10.1287/mnsc.44.9.1218

B. Dumas and J. Fleming, Implied Volatility Functions: Empirical Tests, The Journal of Finance, vol.1, issue.6, pp.2059-2106, 1998.
DOI : 10.1111/0022-1082.00083
URL : https://hal.archives-ouvertes.fr/hal-00606071

M. Hanke, Neural Network Approximation of Option Pricing Formulas for Analytically Intractable Option Pricing Models, Journal of Computational Intelligence in Finance, vol.5, issue.5, pp.20-27, 1997.

J. Hull, Options, futures, and other derivatives, 2003.

G. J. Jiang and Y. S. Tian, The Model-Free Implied Volatility and Its Information Content, Review of Financial Studies, vol.18, issue.4, p.1305, 2005.
DOI : 10.1093/rfs/hhi027

O. Karaali and W. Edelberg, Modelling volatility derivatives using neural networks, Proceedings of the IEEE/IAFE 1997 Computational Intelligence for Financial Engineering (CIFEr), pp.280-286, 1997.
DOI : 10.1109/CIFER.1997.618949

A. Lehar and M. Scheicher, GARCH vs. stochastic volatility: Option pricing and risk management, Journal of Banking & Finance, vol.26, issue.2-3, pp.323-345, 2002.
DOI : 10.1016/S0378-4266(01)00225-4

T. Lehnert, Mandelbrot and the Smile, Kredit und Kapital, vol.42, issue.1
DOI : 10.3790/kuk.42.1.125

G. Meissner and N. Kawano, Capturing the volatility smile of options on high-tech stocks???A combined GARCH-neural network approach, Journal of Economics and Finance, vol.2, issue.3, pp.276-292, 2001.
DOI : 10.1007/BF02745889

F. Mostafa and T. Dillon, Modelling volatility with mixture density networks, 2008 IEEE International Conference on Granular Computing, 2008.
DOI : 10.1109/GRC.2008.4664673

F. Mostafa and T. Dillon, A neural network approach to option pricing Computational Finance and its Applications III Poon A practical guide to forecasting financial market volatility, 2005.

M. Rubinstein, Nonparametric Tests of Alternative Option Pricing Models Using All Reported Trades and Quotes on the 30 Most Active CBOE Option Classes from August 23, 1976 through August 31, 1978, The Journal of Finance, vol.38, issue.2, pp.455-480, 1976.
DOI : 10.1111/j.1540-6261.1985.tb04967.x

P. Tino and C. Schittenkopf, Financial volatility trading using recurrent neural networks, IEEE Transactions on Neural Networks, vol.12, issue.4, pp.865-874, 2001.
DOI : 10.1109/72.935096

J. Yao and Y. Li, Option price forecasting using neural networks, Omega, vol.28, issue.4, pp.455-466, 2000.
DOI : 10.1016/S0305-0483(99)00066-3