Quantify pin risk for digital (binary) options as expiry approaches with spot near the strike. Large delta makes hedging extremely expensive near expiry, especially intraday on expiration date.
Enter the values for the scenario you are assessing. Quantify pin risk for digital (binary) options as expiry approaches with spot near the strike. Large delta makes hedging extremely expensive near expiry, especially intraday on expiration date. Use the pin risk digital result to inform your calculation.