Financing and Pricing Decisions in A Supply Chain with Risk-aversion under Option Contract

Under the bank loan with credit guarantee provided by supplier and delay payment, in a two-level supply chain comprised of a capital-constrained retailer with risk-aversion and a supplier, by adopted the CVaR (conditional value at risk) to characterize the retailer’s risk aversion and constructed the game model, the option pricing of supplier and the optimal ordering decisions of retailer are studied. The choice of financing mode for the retailer is explored, and the impact of the retailer’s risk-aversion degree and the financing interest rate on the equilibrium decision is analyzed. The results show that the retailer’s risk-aversion degree affects the selection of financing modes, i.e. if the risk-aversion coefficient is less than a certain threshold point, the retailer will choose partial credit loan, otherwise, the retailer will choose the delay payment. The optimal option pricing and optimal ordering quantity increase with the increases of risk-aversion coefficient under the two financing modes. The CVaR of the retailer decreases with the increase of bank loan interest rate, while shows a trend of first rising and then falling with the increase of delayed payment interest rate. In addition, the retailer's risk aversion must be within a certain range, otherwise, the supply chain operation cannot be sustainable. Finally, the theoretical results are demonstrated by numerical analysis.