After the recent financial crisis, the market for volatility derivatives has expanded rapidly to meet the demand from investors, risk managers and speculators seeking diversification of the volatility risk. In this paper, we develop a novel and efficient transform-based method to price swaps and...

This note provides closed-form expressions for spatial Greeks (Delta and Gamma) for discretely monitored realized variance swaps under several common parametric model assumptions. We derive closed-form results for stochastic volatility and exponential L´evy models, as well as some...