With the rapid development of small and medium-sized high-tech enterprises in China, the bank of science and technology that provided loans to these companies also emerge rapidly. This article introduces option pricing models of Black - Schultz through the analysis of loan risk management of the bank of science and technology, and makes the conclusion that the bank of science and technology can only earn profit when the profit of loan project yield than the benchmark yield, using the high-tech branch of China construction bank as the empirical sample. This paper further analyzes the method to loan as the bank of science and technology.