International Scholarly Research Notices

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