412 lines
19 KiB
Text
412 lines
19 KiB
Text
\begin{thebibliography}{63}
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\expandafter\ifx\csname natexlab\endcsname\relax\def\natexlab#1{#1}\fi
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\expandafter\ifx\csname fonteauteurs\endcsname\relax
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\def\fonteauteurs{\scshape}\fi
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\expandafter\ifx\csname url\endcsname\relax
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\def\url#1{{\tt #1}}%
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\message{You should include the url package}\fi
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\bibitem[Abramowitz et Stegun(1965)]{abramowitz1965handbook}
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Milton \bgroup\fonteauteurs\bgroup Abramowitz\egroup\egroup{} et Irene~A.
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\bgroup\fonteauteurs\bgroup Stegun\egroup\egroup{} :
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\newblock {\em {H}andbook of {M}athematical {F}unctions: with {F}ormulas,
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{G}raphs, and {M}athematical {T}ables}, volume~55.
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\newblock Dover Publications, 1965.
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\bibitem[Applebaum(2004)]{applebaum2004levy}
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David \bgroup\fonteauteurs\bgroup Applebaum\egroup\egroup{} :
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\newblock {L}{\'e}vy {P}rocesses: {F}rom {P}robability to {F}inance and
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{Q}uantum {G}roups.
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\newblock {\em Notices of the American Mathematical Society}, 51\penalty0
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(11)\string:\penalty500\relax 1336--1347, 2004.
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\bibitem[Bachelier(1900)]{bachelier1900theorie}
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Louis \bgroup\fonteauteurs\bgroup Bachelier\egroup\egroup{} :
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\newblock {\em {T}h{\'e}orie de la sp{\'e}culation}.
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\newblock Gauthier-Villars, 1900.
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\bibitem[Berkson(1980)]{berkson1980minimum}
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Joseph \bgroup\fonteauteurs\bgroup Berkson\egroup\egroup{} :
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\newblock {M}inimum {C}hi-square, not {M}aximum {L}ikelihood!
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\newblock {\em The Annals of Statistics}, pages 457--487, 1980.
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\bibitem[Bingham et Kiesel(2004)]{bingham2004risk}
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Nicholas~H. \bgroup\fonteauteurs\bgroup Bingham\egroup\egroup{} et R{\"u}diger
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\bgroup\fonteauteurs\bgroup Kiesel\egroup\egroup{} :
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\newblock {\em {R}isk-Neutral {V}aluation: {P}ricing and {H}edging of
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{F}inancial {D}erivatives}.
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\newblock Springer, 2004.
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\bibitem[Black(1976)]{black1976pricing}
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Fischer \bgroup\fonteauteurs\bgroup Black\egroup\egroup{} :
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\newblock {T}he {P}ricing of {C}ommodity {C}ontracts.
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\newblock {\em Journal of Financial Economics}, 3\penalty0
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(1)\string:\penalty500\relax 167--179, 1976.
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\bibitem[Black et Scholes(1973)]{black1973pricing}
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Fischer \bgroup\fonteauteurs\bgroup Black\egroup\egroup{} et Myron
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\bgroup\fonteauteurs\bgroup Scholes\egroup\egroup{} :
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\newblock {T}he {P}ricing of {O}ptions and {C}orporate {L}iabilities.
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\newblock {\em The Journal of Political Economy}, pages 637--654, 1973.
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\bibitem[Buckle(1995)]{buckle1995bayesian}
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D.~J. \bgroup\fonteauteurs\bgroup Buckle\egroup\egroup{} :
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\newblock {B}ayesian {I}nference for {S}table {D}istributions.
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\newblock {\em Journal of the American Statistical Association}, 90\penalty0
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(430)\string:\penalty500\relax 605--613, 1995.
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\bibitem[Butler(2007)]{butler2007saddlepoint}
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Ronald~W. \bgroup\fonteauteurs\bgroup Butler\egroup\egroup{} :
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\newblock {\em {S}addlepoint {A}pproximations with {A}pplications}, volume~22.
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\newblock Cambridge University Press, 2007.
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\bibitem[Carr \emph{et~al.}(1998)Carr, Chang, et Madan]{madan1998variance}
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Peter~P. \bgroup\fonteauteurs\bgroup Carr\egroup\egroup{}, Eric~C.
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\bgroup\fonteauteurs\bgroup Chang\egroup\egroup{} et Dilip~B.
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\bgroup\fonteauteurs\bgroup Madan\egroup\egroup{} :
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\newblock {T}he {V}ariance {G}amma {P}rocess and {O}ption {P}ricing.
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\newblock {\em European Finance Review}, 2\penalty0
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(1)\string:\penalty500\relax 79--105, 1998.
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\bibitem[Carr et Madan(1999)]{carr1999option}
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Peter~P. \bgroup\fonteauteurs\bgroup Carr\egroup\egroup{} et Dilip~B.
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\bgroup\fonteauteurs\bgroup Madan\egroup\egroup{} :
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\newblock {O}ption {V}aluation {U}sing the {F}ast {F}ourier {T}ransform.
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\newblock {\em Journal of Computational Finance}, 2\penalty0
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(4)\string:\penalty500\relax 61--73, 1999.
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\bibitem[Crowder(1986)]{crowder1986consistency}
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Martin \bgroup\fonteauteurs\bgroup Crowder\egroup\egroup{} :
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\newblock {O}n {C}onsistency and {I}nconsistency of {E}stimating {E}quations.
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\newblock {\em Econometric Theory}, pages 305--330, 1986.
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\bibitem[Crowder(1987)]{crowder1987linear}
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Martin \bgroup\fonteauteurs\bgroup Crowder\egroup\egroup{} :
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\newblock {O}n {L}inear and {Q}uadratic {E}stimating {F}unctions.
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\newblock {\em Biometrika}, 74\penalty0 (3)\string:\penalty500\relax 591--597,
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1987.
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\bibitem[Daniels(1954)]{daniels1954saddlepoint}
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Henry~E. \bgroup\fonteauteurs\bgroup Daniels\egroup\egroup{} :
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\newblock {S}addlepoint {A}pproximations in {S}tatistics.
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\newblock {\em The Annals of Mathematical Statistics}, pages 631--650, 1954.
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\bibitem[Derman(1996)]{derman1996modelrisk}
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Emanuel \bgroup\fonteauteurs\bgroup Derman\egroup\egroup{} :
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\newblock {M}odel {R}isk.
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\newblock Rapport technique, Goldman Sachs, 1996.
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\bibitem[Dodge(2004)]{dodge2004statistique}
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Yadolah \bgroup\fonteauteurs\bgroup Dodge\egroup\egroup{} :
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\newblock {\em {S}tatistique: {D}ictionnaire Encyclop{\'e}dique}.
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\newblock Springer Verlag France, 2004.
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\bibitem[Epps(2007)]{epps2007pricing}
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Thomas~W. \bgroup\fonteauteurs\bgroup Epps\egroup\egroup{} :
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\newblock {\em {P}ricing {D}erivative {S}ecurities}.
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\newblock World Scientific Publishing Company incorporated, 2007.
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\bibitem[Epps et Pulley(1983)]{epps1983test}
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Thomas~W. \bgroup\fonteauteurs\bgroup Epps\egroup\egroup{} et Lawrence~B.
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\bgroup\fonteauteurs\bgroup Pulley\egroup\egroup{} :
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\newblock {A} {T}est for {N}ormality {B}ased on the {E}mpirical
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{C}haracteristic {F}unction.
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\newblock {\em Biometrika}, 70\penalty0 (3)\string:\penalty500\relax 723--726,
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1983.
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\bibitem[Everitt et Skrondal(2006)]{everitt2006cambridge}
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Brian \bgroup\fonteauteurs\bgroup Everitt\egroup\egroup{} et Anders
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\bgroup\fonteauteurs\bgroup Skrondal\egroup\egroup{} :
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\newblock {\em {T}he {C}ambridge {D}ictionary of {S}tatistics}, volume~4.
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\newblock Cambridge University Press, 2006.
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\bibitem[Fama et French(1993)]{fama1993common}
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Eugene~F. \bgroup\fonteauteurs\bgroup Fama\egroup\egroup{} et Kenneth~R.
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\bgroup\fonteauteurs\bgroup French\egroup\egroup{} :
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\newblock {C}ommon {R}isk {F}actors in the {R}eturns on {S}tocks and {B}onds.
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\newblock {\em Journal of Financial Economics}, 33\penalty0
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(1)\string:\penalty500\relax 3--56, 1993.
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\bibitem[Feuerverger et McDunnough(1981)]{feuerverger1981efficiency}
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Andrey \bgroup\fonteauteurs\bgroup Feuerverger\egroup\egroup{} et Philip
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\bgroup\fonteauteurs\bgroup McDunnough\egroup\egroup{} :
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\newblock {O}n the {E}fficiency of {E}mpirical {C}haracteristic {F}unction
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{P}rocedures.
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\newblock {\em Journal of the Royal Statistical Society. Series B
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(methodological)}, pages 20--27, 1981.
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\bibitem[Fox et Taqqu(1986)]{fox1986large}
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Robert \bgroup\fonteauteurs\bgroup Fox\egroup\egroup{} et Murad~S.
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\bgroup\fonteauteurs\bgroup Taqqu\egroup\egroup{} :
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\newblock {L}arge-sample {P}roperties of {P}arameter {E}stimates for {S}trongly
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{D}ependent {S}tationary {G}aussian {T}ime {S}eries.
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\newblock {\em The Annals of Statistics}, 14\penalty0
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(2)\string:\penalty500\relax 517--532, 1986.
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\bibitem[Gil-Pelaez(1951)]{gil1951note}
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J.~\bgroup\fonteauteurs\bgroup Gil-Pelaez\egroup\egroup{} :
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\newblock {N}ote on the {I}nversion {T}heorem.
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\newblock {\em Biometrika}, 38\penalty0 (3-4)\string:\penalty500\relax
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481--482, 1951.
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\bibitem[Gourieroux et Monfort(1989)]{gourieroux1989statistique}
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Christian \bgroup\fonteauteurs\bgroup Gourieroux\egroup\egroup{} et Alain
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\bgroup\fonteauteurs\bgroup Monfort\egroup\egroup{} :
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\newblock {\em {S}tatistique et Mod{\`e}les {\'E}conom{\'e}triques: Notions
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G{\'e}n{\'e}rales, Estimation, Pr{\'e}vision, Algorithmes}, volume~1.
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\newblock Economica, 1989.
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\bibitem[Hall(2005)]{hall2005generalized}
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Alastair~R. \bgroup\fonteauteurs\bgroup Hall\egroup\egroup{} :
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\newblock {\em {G}eneralized {M}ethod of {M}oments}.
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\newblock Oxford University Press, 2005.
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\bibitem[Hamilton(1994)]{hamilton1994time}
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James~Douglas \bgroup\fonteauteurs\bgroup Hamilton\egroup\egroup{} :
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\newblock {\em {T}ime {S}eries {A}nalysis}, volume~2.
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\newblock Cambridge University Press, 1994.
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\bibitem[Hansen(1982)]{hansen1982large}
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Lars~Peter \bgroup\fonteauteurs\bgroup Hansen\egroup\egroup{} :
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\newblock {L}arge {S}ample {P}roperties of {G}eneralized {M}ethod of {M}oments
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{E}stimators.
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\newblock {\em Econometrica}, pages 1029--1054, 1982.
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\bibitem[Henze(1990)]{henze1990approximation}
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Norbert \bgroup\fonteauteurs\bgroup Henze\egroup\egroup{} :
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\newblock {A}n {A}pproximation to the {L}imit {D}istribution of the
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{E}pps-{P}ulley {T}est {S}tatistic for {N}ormality.
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\newblock {\em Metrika}, 37\penalty0 (1)\string:\penalty500\relax 7--18, 1990.
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\bibitem[Heston(1993)]{heston1993closed}
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Steven~L. \bgroup\fonteauteurs\bgroup Heston\egroup\egroup{} :
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\newblock {A} {C}losed-{F}orm {S}olution for {O}ptions with {S}tochastic
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{V}olatility with {A}pplications to {B}ond and {C}urrency {O}ptions.
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\newblock {\em Review of Financial Studies}, 6\penalty0
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(2)\string:\penalty500\relax 327--343, 1993.
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\bibitem[Hinkley et Revankar(1977)]{hinkley1977estimation}
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David~V. \bgroup\fonteauteurs\bgroup Hinkley\egroup\egroup{} et Nagesh~S.
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\bgroup\fonteauteurs\bgroup Revankar\egroup\egroup{} :
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\newblock {E}stimation of the {P}areto {L}aw from {U}nderreported {D}ata: {A}
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{F}urther {A}nalysis.
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\newblock {\em Journal of Econometrics}, 5\penalty0
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(1)\string:\penalty500\relax 1--11, 1977.
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\bibitem[Hogg et Craig(1978)]{hogg1978introduction}
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Robert~V. \bgroup\fonteauteurs\bgroup Hogg\egroup\egroup{} et Allen
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\bgroup\fonteauteurs\bgroup Craig\egroup\egroup{} :
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\newblock {\em {I}ntroduction to {M}athematical {S}tatistics}.
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\newblock Macmillan, 1978.
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\bibitem[Itkin(2005)]{itkin2005pricing}
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Andrey \bgroup\fonteauteurs\bgroup Itkin\egroup\egroup{} :
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\newblock {P}ricing {O}ptions with {VG} {M}odel {U}sing {FFT}.
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\newblock {\em arXiv preprint physics/0503137}, 2005.
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\bibitem[{Jingbo Wang} et Marsaglia(2003)]{wang2003evaluating}
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Wai Wan~Tsang \bgroup\fonteauteurs\bgroup {Jingbo Wang}\egroup\egroup{} et
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George \bgroup\fonteauteurs\bgroup Marsaglia\egroup\egroup{} :
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\newblock {E}valuating {K}olmogorov's {D}istribution.
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\newblock {\em Journal of Statistical Software}, 8\penalty0
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(18)\string:\penalty500\relax 1--4, 2003.
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\bibitem[Kotz \emph{et~al.}(2001)Kotz, Kozubowski, et
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Podg{\'o}rski]{kotz2001laplace}
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Samuel \bgroup\fonteauteurs\bgroup Kotz\egroup\egroup{}, Tomasz~J.
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\bgroup\fonteauteurs\bgroup Kozubowski\egroup\egroup{} et Krzystof
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\bgroup\fonteauteurs\bgroup Podg{\'o}rski\egroup\egroup{} :
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\newblock {\em {T}he {L}aplace {D}istribution and {G}eneralizations: {A}
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{R}evisit with {A}pplications to {C}ommunications, {E}conomics,
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{E}ngineering, and {F}inance}.
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\newblock Progress in Mathematics Series. Birkh{\"a}user, 2001.
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\bibitem[Koutrouvelis(1980)]{KOUTROUVELIS01011980}
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Ioannis~A. \bgroup\fonteauteurs\bgroup Koutrouvelis\egroup\egroup{} :
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\newblock {{A} {G}oodness-{O}f-{F}it {T}est of {S}imple {H}ypotheses {B}ased on
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the {E}mpirical {C}haracteristic {F}unction}.
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\newblock {\em {B}iometrika}, 67\penalty0 (1)\string:\penalty500\relax
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238--240, 1980.
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\bibitem[Kozubowski et Podg{\'o}rski(1999)]{kozubowski1999class}
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Tomasz~J. \bgroup\fonteauteurs\bgroup Kozubowski\egroup\egroup{} et Krzysztof
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\bgroup\fonteauteurs\bgroup Podg{\'o}rski\egroup\egroup{} :
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\newblock {A} {C}lass of {A}symmetric {D}istributions.
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\newblock {\em Actuarial Research Clearing House}, 1\string:\penalty500\relax
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113--134, 1999.
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\bibitem[Kozubowski et Podg{\'o}rski(2001)]{kozubowski2001asymmetric}
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Tomasz~J. \bgroup\fonteauteurs\bgroup Kozubowski\egroup\egroup{} et Krzysztof
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\bgroup\fonteauteurs\bgroup Podg{\'o}rski\egroup\egroup{} :
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\newblock {A}symmetric {L}aplace {L}aws and {M}odeling {F}inancial {D}ata.
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\newblock {\em {M}athematical and {C}omputer {M}odeling}, 34\penalty0
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(9)\string:\penalty500\relax 1003--1021, 2001.
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\bibitem[Kyprianou(2007)]{kyprianou2007introductory}
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Andreas~E. \bgroup\fonteauteurs\bgroup Kyprianou\egroup\egroup{} :
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\newblock {\em {I}ntroductory {L}ectures on {F}luctuations of {L}{\'e}vy
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{P}rocesses with {A}pplications}.
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\newblock Springer, 2007.
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\bibitem[Lugannani et Rice(1980)]{lugannani1980saddle}
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Robert \bgroup\fonteauteurs\bgroup Lugannani\egroup\egroup{} et Stephen
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\bgroup\fonteauteurs\bgroup Rice\egroup\egroup{} :
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\newblock {S}addle {P}oint {A}pproximation for the {D}istribution of the {S}um
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of {I}ndependent {R}andom {V}ariables.
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\newblock {\em Advances in Applied Probability}, pages 475--490, 1980.
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\bibitem[Lukacs(1960)]{lukacs1960characteristic}
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Eugene \bgroup\fonteauteurs\bgroup Lukacs\egroup\egroup{} :
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\newblock {\em {C}haracteristic {F}unctions}, volume~4.
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\newblock Griffin London, 1960.
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\bibitem[Luong et Thompson(1987)]{luong1987minimum}
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Andrew \bgroup\fonteauteurs\bgroup Luong\egroup\egroup{} et Mary~E.
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\bgroup\fonteauteurs\bgroup Thompson\egroup\egroup{} :
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\newblock {M}inimum-{D}istance {M}ethods {B}ased on {Q}uadratic {D}istances for
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{T}ransforms.
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\newblock {\em Canadian Journal of Statistics}, 15\penalty0
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(3)\string:\penalty500\relax 239--251, 1987.
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\bibitem[Madan et Seneta(1990)]{madan1990variance}
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Dilip~B. \bgroup\fonteauteurs\bgroup Madan\egroup\egroup{} et Eugene
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\bgroup\fonteauteurs\bgroup Seneta\egroup\egroup{} :
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\newblock {T}he {V}ariance {G}amma {M}odel for {S}hare {M}arket {R}eturns.
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\newblock {\em Journal of Business}, pages 511--524, 1990.
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\bibitem[Mandelbrot(1963)]{mandelbrot1963variation}
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Benoit \bgroup\fonteauteurs\bgroup Mandelbrot\egroup\egroup{} :
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\newblock {T}he {V}ariation of {C}ertain {S}peculative {P}rices.
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\newblock {\em Journal of Business}, pages 394--419, 1963.
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\bibitem[Merton(1976)]{merton1976option}
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Robert~C. \bgroup\fonteauteurs\bgroup Merton\egroup\egroup{} :
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\newblock {O}ption {P}ricing when {U}nderlying {S}tock {R}eturns {A}re
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{D}iscontinuous.
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\newblock {\em Journal of Financial Economics}, 3\penalty0
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(1)\string:\penalty500\relax 125--144, 1976.
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\bibitem[Mikosch \emph{et~al.}(2001)Mikosch, Resnick, et
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Barndorff-Nielsen]{barndorff2001levy}
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Thomas \bgroup\fonteauteurs\bgroup Mikosch\egroup\egroup{}, Sidney~I.
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\bgroup\fonteauteurs\bgroup Resnick\egroup\egroup{} et Ole~E.
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\bgroup\fonteauteurs\bgroup Barndorff-Nielsen\egroup\egroup{} :
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\newblock {\em {L}{\'e}vy {P}rocesses: {T}heory and {A}pplications}.
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\newblock Birkh{\"a}user, 2001.
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\bibitem[Mitchell(1916)]{mitchell1916critique}
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Wesley~C. \bgroup\fonteauteurs\bgroup Mitchell\egroup\egroup{} :
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\newblock {A} {C}ritique of {I}ndex {N}umbers of the {P}rices of {S}tocks.
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\newblock {\em The Journal of Political Economy}, pages 625--693, 1916.
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\bibitem[Newey et McFadden(1994)]{newey1994large}
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Whitney~K. \bgroup\fonteauteurs\bgroup Newey\egroup\egroup{} et Daniel
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\bgroup\fonteauteurs\bgroup McFadden\egroup\egroup{} :
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\newblock {L}arge {S}ample {E}stimation and {H}ypothesis {T}esting.
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\newblock {\em Handbook of Econometrics}, 4\string:\penalty500\relax
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2111--2245, 1994.
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\bibitem[Newey et West(1987)]{newey1987hypothesis}
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Whitney~K. \bgroup\fonteauteurs\bgroup Newey\egroup\egroup{} et Kenneth~D.
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\bgroup\fonteauteurs\bgroup West\egroup\egroup{} :
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\newblock {H}ypothesis {T}esting with {E}fficient {M}ethod of {M}oments
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{E}stimation.
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\newblock {\em International Economic Review}, 28\penalty0
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(3)\string:\penalty500\relax 777--787, 1987.
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\bibitem[Praetz(1972)]{praetz1972distribution}
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Peter~D. \bgroup\fonteauteurs\bgroup Praetz\egroup\egroup{} :
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