Efficient Hedging of Options with Probabilistic Haar Wavelets

<table>Approximations to portfolio <svg height="15.675" id="M814" style="vertical-align:-3.27605pt" version="1.1" viewbox="0 0 18.7125 15.675" width="18.7125" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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</svg>, constructed from two calls and one put, using delta hedging and the Haar system constructed via Brownian motion increments. Values of the parameters used: <svg height="11.3125" id="M815" style="vertical-align:-0.1092pt" version="1.1" viewbox="0 0 42.5625 11.3125" width="42.5625" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink">
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International Scholarly Research Notices

Efficient Hedging of Options with Probabilistic Haar Wavelets

Figure 5