= Solution
Differentiate the <Gaussian> price with respect to $s$. The terms involving derivatives of $d$ cancel because $\phi'(d)=-d\phi(d)$ and $s-Ke^{-r\tau}=\nu d$. Thus the <delta hedge> is
$$
\boxed{\pi_t=C_s(t,S_t)=\Phi\left(\frac{S_t-Ke^{-r(T-t)}}{
\sigma\sqrt{(1-e^{-2r(T-t)})/(2r)}}\right).}
$$
For every $t<T$, $\nu>0$ and $S_t$ is finite, so $0<\pi_t<1$. At maturity its limiting value is the payoff derivative $\mathbf1_{\{S_T>K\}}$ except at the kink, an event of probability zero under the equivalent <Gaussian> law. Consequently \b[the <stock> holding is always nonnegative and never exceeds one]. The initial drift $\mu$ does not enter this hedge; it is removed by the change to the <risk-neutral measure>.
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