HaarHedging: A C++ implementation of Haar systems for Black-Scholes model

Authors: Sebastian Ferrando and Jihong Cai, Ryerson University.

HaarHedging is a C++ library that implements H-systems for the Black-Scholes model. It allows to approximate a portfolio consisting of a linear (short and long positions) combination of European calls and puts. The library implements some of the constructions described in the paper "Haar wavelets systems for hedging financial derivatives" by P.J. Catuogno, S.E. Ferrando and A.L.Gonzales. An associated technical report to HaarHedging describes most of the functionality of the library.