This work provides an extension of the conic finance framework, through a new spread function that allows each side of the trade to be calculated using a distinct distortion. In this way, we return to the original conic finance framework when the distortions are equal. Based on this new framework, we prove useful results when the liquidity parameter takes on extreme values. We prove that in a special case, positive $\gamma$ and equal distortions, the spread function will be a deviation measure. Additionally, closed forms are provided for the Greeks of the Black-Scholes model and an additional partial derivative with respect to the parameter $\gamma$ is presented, for the case where the bid and ask prices are computed using the Wang distortion.
Comissão Organizadora
Anderson Odias da Silva
Claudia Yoshinaga
Ricardo D. Brito
Felipe Saraiva Iachan
Vinicius Augusto Brunassi Silva
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