SELF‐DECOMPOSABILITY AND OPTION PRICING

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On the Lamperti stable processes (2008, methodology): “In particular, they are recently used to model asset prices and the risk-neutral process (see for instance [ 8 ]) in nancial mathematics.”
Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo (2011, methodology): “This model incorporates, via the additive Lévy process in the returns equation, a variance gamma (VG) model (Madan et al., 1998; see also Carr et al., 2007).”
Delay geometric Brownian motion in financial option valuation (2013, background): “As a result, many different types of models such as stochastic volatility [9,12,14,25], jump diffusion [23], pure jump Lévy processes [2,16] and various combinations of the aforementioned [5,6] were created in order to explain results from empirical studies more adequately.”
Sato processes and the valuation of structured products (2009, background): “This finding was reported by Carr et al. (2007).”