Research Article
Efficient Hedging of Options with Probabilistic Haar Wavelets
Table 1
Relative errors, between
and
, in terms of number of transactions and scales. Single European call. Values of parameters as in Figure
1.
| No. of transactions | | | | | | |
| | 0.1907 | 0.1907 | 0.1907 | 0.1907 | 0.1907 | 0.1907 | | 0.0849 | 0.0631 | 0.0627 | 0.0627 | 0.0627 | 0.0627 | | 0.0769 | 0.0421 | 0.0323 | 0.0312 | 0.0312 | 0.0312 | | 0.0767 | 0.0361 | 0.02041 | 0.0157 | 0.0147 | 0.0147 | | NA | 0.0351 | 0.0173 | 0.0101 | 0.0079 | 0.0074 | | NA | 0.0351 | 0.0166 | 0.0084 | 0.0050 | 0.0040 |
|
|