 Our method of proof is based on an integral representation of the option price involving the tail probability of the log-return process under the share measure and a suitable change of probability measure under which the pure-jump componentof the log-return%DIFDELCMD < } %%% process becomes a Y-stable process. Our approach is sufficiently general to cover a wide class of L\'evy processes which satisfy the latter property and whose L\'evy densities can be closely approximated by a stable density near the origin.
<meaning-changed>  Our method of proof is based on an integral representation of the option price involving the tail probability of the log-return process under the share measure and a suitable change of probability measure under which the pure-jump componentof the log-return%DIFDELCMD < } %%% process becomes a Y-stable process. Our approach is sufficiently general to cover a wide class of L\'evy processes which satisfy the latter property and whose L\'evy densities can be closely approximated by a stable density near the origin.
 Our method of proof is based on an integral representation of the option price involving the tail probability of the log-return process under the share measure and a suitable change of probability measure under which the pure-jump componentof the log-return%DIFDELCMD < } %%% with or without Brownian component.