Kirkby, Justin; Rupprecht, Nathaniel; Aguilar, Jean-Philippe - 2023
exponential L´evy models, as well as some approximations in the case of stochastic local volatility. We show that variance swap … Greeks are inherently sensitive to model assumptions, and the common practice of ignoring the variance swap delta is not … always appropriate. In particular, the Delta of a variance swap under a stochastic local volatility model can be quite …