Jump Starting GARCH: Pricing and Hedging Options With Jumps in Returns and Volatilities

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GARCH option pricing: A semiparametric approach (2008, methodology): “For example, Christoffersen et al (2004) proposed a GARCH model with Inverse Gaussian driving noises, Menn and Rachev (2005) used a smoothly truncated stable distribution, while Duan et al (2006) studied GARCH models with jumps.”
The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing (2008, methodology): “[7] modified the classical GARCH model by adding jumps to the innovation processes.”
APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING (2006, unknown): “The discrete time model on which we rely in constructing our limiting models is that of Duan et al. (2004) (hereafter DRS).”
Pricing the CBOE VIX Futures with the Heston–Nandi GARCH Model (2017, background): “The literature mainly focuses on equity option pricing, such as Duan (1995), Duan (1999), Heston and Nandi (2000), Duan et al. (2005), Christoffersen et al. (2008), Christoffersen et al. (2014), etc.2 To our best knowledge, little (if any) literature exists on the pricing of VIX derivatives under…”