Efficient Hedging of Options with Probabilistic Haar Wavelets

Table 4

Dynamic hedging information for option 𝑍₁. 𝐽=5 and 𝑅_𝐻=5 at each time step, remaining values of parameters as in Figure 1. The volume of transactions 𝑉𝑇(⋅) are averages over all the samples.

𝑅 (𝑅𝐻=5)	𝑉𝑇(𝐵Π)	𝑉𝑇(𝐻Π)	Fine bound	Coarse bound	Relative error	𝜖
𝑅=10 (𝑁=2)	1.26062	2.40553	3.73645	18.3088	0.0795891	0.0939396
𝑅=15 (𝑁=3)	1.47833	2.8358	4.46665	21.2139	0.0874086	0.0783706
𝑅=20 (𝑁=4)	1.63339	3.13998	5.08153	24.1135	0.09152	0.06748
𝑅=25 (𝑁=5)	1.8458	3.53484	5.50147	30.4139	0.0957869	0.0520525