  Based on the concept of self-decomposability, we extend some recent
multivariate L\'evy models built using multivariate subordination with the aim
of capturing situations in which a sudden event in one market is propagated
onto related markets after a certain stochastic time delay. Consequently, we
study the properties of such processes, derive closed form expressions for the
characteristic function and detail how a Monte Carlo scheme can be easily
implemented. We illustrate the applicability of our approach in the context of
gas and power Energy markets focusing on the calibration and on the pricing of
spread options written on different underlying assets using simulations
techniques.
