Credit risk pricing under fuzzy mixed fractional Brownian motion

In order to introduce the long term memory of financal markets and fuzziness to the study of credit risk pricing, this paper develops a new framework by using fuzzy mixed Brownian motion to describe the motion of the underlying assets and deduces a new credit risk fuzzy pricing formula. The influence of the long-term momery and fuzziness is emphatically analyzed. Finally, for better understanding, this study provides an example of triangular fuzzy numbers to compare the price given by different models. The results show that the credit risk model under fuzzy mixed fractional Brownian motion given in this paper is more consistent with the financial market.