What position should you take in the asset

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Reference no: EM131966196

Question: Derivative A has the following Greeks today: A = 0, A = 0.3 and GA = 1.1.

Derivative B has the following Greeks today: B = 0, B = 0.4 and GB = 2.

You write a derivative X with the following Greeks today: X = 300, X = 120 and GX = 48.

All three derivatives are for the same underlying asset.

What position should you take in the underlying asset, derivative A, and derivative B to be delta- gamma-, and vega-neutral today?

Reference no: EM131966196

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