What position should you take in the underlying asset, Financial Management

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What position should you take in the underlying asset

Derivative A has the following Greeks today: ?A = 0, νA = 0.3 and ΓA = 1.1.

Derivative B has the following Greeks today: ?B = 0, νB = 0.4 and ΓB = 2.

You write a derivative X with the following Greeks today: ?X = 300, νX = 120 and ΓX = 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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Financial Management: What position should you take in the underlying asset

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