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International Scholarly Research Notices
Table of Contents
International Scholarly Research Notices
/
2012
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Article
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Tab 5
/
Research Article
Efficient Hedging of Options with Probabilistic Haar Wavelets
Table 5
Dynamic hedging information for the option
.
and
at each time step, remaining values of parameters as in Figure
5
. The volume of transactions
are averages over all the samples.
(
)
Fine bound
Coarse bound
Relative error
(
)
0.593357
1.20214
3.85979
49.1631
0.128758
0.0305896
(
)
1.03076
1.96901
4.39251
55.9105
0.128939
0.0268424
(
)
1.15317
2.2223
7.59714
77.4299
0.125603
0.0192216
(
)
1.37302
2.74642
9.13719
121.156
0.1235
0.0121686