供应链金融产品定价构想——基于期权估价原理的定价方法

The Conception of Pricing of Supply Chain Finance Products——Pricing Method based on Option Pricing Theory

在银行与专业财务公司开展供应链金融产品创新过程中,合理确定供应链金融产品价格(企业融资利率)是其焦点与难点之一。本文考察供应链金融产品与期权的相似性,基于期权估价的复制原理,构建供应链金融产品多期二叉树模型,测算供应链金融产品对企业的融资利率。模型实证分析表明企业可以通过参与供应链金融产品获得较低的融资利率。最后,本文对进一步支持供应链金融产品合理定价提出建议。

In the process of carrying out supply chain finance（SCF） product innovation in banks and professional finance companies,one of the focal points and difficulties is the way to determine the price（corporate finance interest rate） of SCF products reasonably. The paper reviews the similarity of SCF products and options, builds multi period two fork tree model of supply chain financial products on the basis of replication principle of option pricing, measures the enterprise＇s financing interest rate of SCF products. Empirical analysis of the model shows that the enterprises can obtain lower financing rate through participating in the SCF products. Finally, the paper puts forward suggestions to further support the SCF products.