Efficient Hedging of Options with Probabilistic Haar Wavelets

Table 1

Relative errors, between 𝑋 and 𝑋^𝑐_𝑅, in terms of number of transactions and scales. Single European call. Values of parameters as in Figure 1.

No. of transactions	𝐽=6	𝐽=8	𝐽=10	𝐽=12	𝐽=14	𝐽=16
𝑅=5	0.1907	0.1907	0.1907	0.1907	0.1907	0.1907
𝑅=15	0.0849	0.0631	0.0627	0.0627	0.0627	0.0627
𝑅=30	0.0769	0.0421	0.0323	0.0312	0.0312	0.0312
𝑅=64	0.0767	0.0361	0.02041	0.0157	0.0147	0.0147
𝑅=128	NA	0.0351	0.0173	0.0101	0.0079	0.0074
𝑅=256	NA	0.0351	0.0166	0.0084	0.0050	0.0040