You are pricing a digital call option that pays $1 if the stock is above $100 at maturity. It expires tomorrow, and the stock is at $99.9. How would you hedge this in practice? What is the massive risk if you strictly delta-hedge it using Black-Scholes?

你在为一款数字型看涨期权定价，如果到期时股价大于100美元支付1美元，期权明天到期，现在股价99.9美元。在实际交易中你会如何对冲它？如果完全按照Black-Scholes的Delta对冲会有什么巨大的风险？