  We explore the role that random arbitrage opportunities play in hedging
financial derivatives. We extend the asymptotic pricing theory presented by
Fedotov and Panayides [Stochastic arbitrage return and its implication for
option pricing, Physica A 345 (2005), 207-217] for the case of hedging a
derivative when arbitrage opportunities are present in the market. We restrict
ourselves to finding hedging confidence intervals that can be adapted to the
amount of arbitrage risk an investor will permit to be exposed to. The
resulting hedging bands are independent of the detailed statistical
characteristics of the arbitrage opportunities.
