The Research On Pledge Loan Pricing Of Small Enterprises Based On Option Pricing Models

The small enterprises accounts more than 99% of total number of enterprises in China, which offer more than 75% of jobs in both cities and towns and play an inestimable role in our country’s economic development and social stability. Among all the problems restricting the development of small enterprises in our country, the most difficult also the most critical is the small enterprise financing difficult problem. As an effective and main way of all the pledge loan ways for small enterprises, Pledge loan plays an important role in dealing with the problems of small enterprises financing in China, which affects the development of small enterprises. When the loan interest rate is too high, the bank could lose small business borrowers, small enterprises would also lose chance of financing, which is not conducive to economic development. When the loan interest rate is too low, the banks may not recover their costs, which caused economic losses, and not favorable to the development of banks. Therefore, it is significate to decide how to deal with the small business pledge pricing reasonably.This research consists of five parts. The first chapter is the introduction part, which mainly expounds the nature of scientific research and pricing of option pricing model of mortgage loans of small enterprises based on the background and significance of the topic. What’s more, adetailed overview of the research status of the existing small business loan pricing pledge. The second chapter is the option pricing model for small business loan pricing research based on the principle. It elaborates on the principles used by this research, including the pledge price risk control principle, mortgage loan default risk compensation principle and risk-free arbitrage pricing theory. The third chapter is the research methods and the solution of models for small enterprises loan pricing based on the option pricing model. It detailed the description of the construction of the model and the solving method, and establishes the loan principal and sensitivity analysis of main parameters of the benchmark interest rate loans and operating cost rate etc.The fourth chapter is the analysis of the empirical research of pledge loan pricing of small enterprises based on option pricing models. Through the data of one commercial bank loans, the empirical research established the small business loan pricing model, and verifed the feasibility of the model in this research.The main work of this research: (1)Using BS and multi-dimensional BS option pricing models to calculate default losses of banks, which reflects the relationship between the pledge price risk and default losses.(2)According to the datas of small enterprises pledge loans of one city commercial bank, establishing the loan pricing model based on pledge of small establishing research which shows that loan interest rates can be compensated by the mortgage default risk.The main innovations and features of this research:(1)Using multi-dimensional BS option pricing model to calculate loan might default loss by considering the correlation between different collateral, which solves the problem that pledge is only one pledge of the existing research.(2)Through the establishment of loan pricing model based on option pricing theory, the bank could avoid collateral caused by fluctuations in the market price of loss.