Efficient Hedging of Options with Probabilistic Haar Wavelets

Figure 1

Approximations to single European call using delta hedging and a single Haar function (as explained in Section 6). Values of the parameters used: 𝑁=1, 𝑆_𝑡0=20,𝑟=0.05,𝜎=0.1,𝑇−𝑡₀=1, 𝐾=21.