Cataloged from PDF version of article.Superhedging of European claims in incomplete markets is a well-studied
problem. The superhedging value of a European claim is known to yield a
price too large to be interesting in some cases. In this note, an alternative
hedging strategy based on an expected gain–loss criterion is studied for
European claims in infinite state space, discrete time financial markets.
A dual representation for the gain–loss hedging value is obtained
