  We consider the performance of non-optimal hedging strategies in exponential
L\'evy models. Given that both the payoff of the contingent claim and the
hedging strategy admit suitable integral representations, we use the Laplace
transform approach of Hubalek et al. (2006) to derive semi-explicit formulas
for the resulting mean squared hedging error in terms of the cumulant
generating function of the underlying L\'evy process. In two numerical
examples, we apply these results to compare the efficiency of the Black-Scholes
hedge and the model delta to the mean-variance optimal hedge in a normal
inverse Gaussian and a diffusion-extended CGMY L\'evy model.
