Before revision:  In addition, the second moment of the hedging error for a strategy calculated via a given martingale measure can take any arbitrary positive value under some equivalent measure. Some reasonable choices of martingale measures are suggested, including a measure that ensures local risk minimizing hedging strategy .
After revision:  In addition, the second moment of the hedging error can vary significantly and take extreme values, for some extreme choices of the martingale measures. The paper suggests ad discusses some choices of the martingale measures .