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Derivative A has the following Greeks today: A = 0, A = 0.3 and A = 1.1. Derivative B has the following Greeks today: B
Derivative A has the following Greeks today: A = 0, A = 0.3 and A = 1.1.
Derivative B has the following Greeks today: B = 0, B = 0.4 and B = 2.
You write a derivative X with the following Greeks today: X = 300, X = 120 and X = 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?
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