Efficient Hedging of Options with Probabilistic Haar Wavelets

Table 2

Volume of transactions for single European call, that is, option 𝑍₁. Values of parameters as in Figure 1, also, 𝐽=16 and 𝑉_𝑡0(𝑋)=0.809.

𝑅	VT(Π)	AverageVolTrBS	VT(𝐻Π)	Fine bound	Coarse bound	Relative error
𝑅=5	0.920208	53.32	1.6783	1.93614	22.9151	0.227333
𝑅=10	0.95818	107.1	1.84845	2.36697	22.982	0.112873
𝑅=15	0.95818	157.2	1.89718	2.5557	22.9943	0.0746597
𝑅=20	0.959513	213.8	1.92295	2.70761	22.9983	0.0570624
𝑅=25	0.959513	258.8	1.94195	2.84482	23.0004	0.0447283
𝑅=30	0.959513	317	1.94998	2.90008	23.0015	0.0369233