In this paper, we propose a framework for credit and debit valuation adjustments (CVA and DVA, respectively) for options and option portfolios which is based on conic finance, that is, where the positions are valued at their bid or ask prices depending on whether they are assets or liabilities. This can be achieved by transforming the pricing measure via appropriate distortion functions, depending on (at least) one parameter. We apply our methodology, which is based on the Wang transform, to portfolios of European commodity futures options, and we show that both CVA and DVA are significantly impacted by bid-ask spreads, when compared to their traditional risk-neutral counterparts. In particular, we show that DVA decreases when computed under conic finance settings, which is in line with the regulatory efforts to rein in DVA gains for financial institutions resulting from their own credit quality deterioration. Finally, we investigate the robustness of our approach with respect to the calibrated parameters, and we show that the calibrated distortion parameter is an excellent explanatory variable for the observed bid-ask spreads.

中文翻译：

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用于期权组合的 CONIC CVA 和 DVA

在本文中，我们提出了一个基于圆锥金融的期权和期权投资组合的贷方和借方估值调整框架（分别为 CVA 和 DVA），也就是说，头寸的价值取决于买入价或卖出价。它们是资产或负债。这可以通过适当的失真函数转换定价度量来实现，这取决于（至少）一个参数。我们将基于 Wang 变换的方法应用于欧洲商品期货期权的投资组合，我们表明，与传统的风险中性对应物相比，CVA 和 DVA 都受到买卖价差的显着影响。特别是，我们表明在圆锥财务设置下计算 DVA 会降低，这符合监管机构为控制金融机构自身信用质量恶化而获得的 DVA 收益所做的努力。最后，我们研究了我们的方法在校准参数方面的稳健性，我们表明校准失真参数是观察到的买卖价差的一个很好的解释变量。