Analytically pricing volatility swaps and volatility options with discrete sampling: Nonlinear payoff volatility derivatives

Author(s):  
Sanae Rujivan ◽  
Udomsak Rakwongwan
2022 ◽  
Vol 13 (1) ◽  
pp. 32-69
Author(s):  
Elisa Alòs ◽  
David García-Lorite ◽  
Aitor Muguruza Gonzalez

2019 ◽  
pp. 315-338 ◽  
Author(s):  
Rodika Sokoliuk ◽  
Rufin VanRullen

2021 ◽  
Vol 28 (2) ◽  
pp. 163-182
Author(s):  
José L. Simancas-García ◽  
Kemel George-González

Shannon’s sampling theorem is one of the most important results of modern signal theory. It describes the reconstruction of any band-limited signal from a finite number of its samples. On the other hand, although less well known, there is the discrete sampling theorem, proved by Cooley while he was working on the development of an algorithm to speed up the calculations of the discrete Fourier transform. Cooley showed that a sampled signal can be resampled by selecting a smaller number of samples, which reduces computational cost. Then it is possible to reconstruct the original sampled signal using a reverse process. In principle, the two theorems are not related. However, in this paper we will show that in the context of Non Standard Mathematical Analysis (NSA) and Hyperreal Numerical System R, the two theorems are equivalent. The difference between them becomes a matter of scale. With the scale changes that the hyperreal number system allows, the discrete variables and functions become continuous, and Shannon’s sampling theorem emerges from the discrete sampling theorem.


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