option pricing

European option pricing under model involving slow growth volatility with jump

In this paper, we suggest a new model for establishing a numerical study related to a European options pricing problem  where assets' prices can be described by a stochastic equation with a discontinuous sample path (Slow Growth Volatility with Jump SGVJ model) which uses a non-standard volatility.  A special attention is given to characteristics of the proposed model represented by its non-standard volatility defined by the parameters $\alpha$ and $\beta$.  The mathematical modeling in the presence of jump shows that one has to resort to a degenerate partial integro-di