Bonds pricing with default risk in the fractional brownian motion environment

Abstract

Assuming that the dynamic of underlying assets is given by a jump-diffusion process in a fractional Brownian motion environment, we derive the bonds pricing with default risk. According to Merton's method, the expression of bonds pricing with default risk based on a jump-diffusion process in the fractional Brownian motion environment is obtained. Moreover, the numerical experiments are shown to analyze the influence of the Hurst parameter on bonds prices.