Efficient Hedging of Options with Probabilistic Haar Wavelets

Table 6

Dynamic hedging information for the option 𝑍₃. Values of parameters: 𝑁_𝐴=2,…,5, 𝐾_𝐴=21.

𝑅 (𝑅𝐻=10)	𝑉𝑇(𝐵Π)	𝑉𝑇(𝐻Π)	Fine bound	Coarse bound	Relative error	𝜖
𝑅=20 (𝑁=2)	0.958413	1.66733	2.86227	8.78945	0.05	0.225927
𝑅=30 (𝑁=3)	1.01458	1.6126	2.93135	8.03383	0.0715974	0.245643
𝑅=40 (𝑁=4)	1.03078	1.53383	2.92057	7.8773	0.0740302	0.249264
𝑅=50 (𝑁=5)	1.22817	1.87943	3.1592	8.53391	0.0735656	0.225817