Pricing of accounts receivable securitization of Chinese enterprises based on option binomial tree model

Abstract

With the rapid development of China’s economy, the scale of enterprises is growing, but it is followed by the problem of rapidly expanding accounts receivable. The huge stock of enterprise accounts receivable is bound to occupy a large amount of monetary funds of enterprises. As an indispensable part of China’s multi-level capital market, asset securitization can effectively revitalize enterprise accounts receivable, improve capital utilization and reduce financing costs. However, there is no unified and standardized pricing mechanism and an effective pricing model for securitization products of accounts receivable assets for Chinese enterprises at present. This study introduces the option binomial tree model and simulates the price change of the underlying assets before the option expires by constructing a price tree. So as to calculate the theoretical price of accounts receivable. In order to seek a new idea of risk pricing of enterprise accounts receivable asset securitization under the current unfavorable economic environment.