According to police the man suspected fidelity of his wife which could have triggered the attack.
The man's wife and his 13-year-old son died while his nine-year-old daughter and a neighbour sustained injuries in the attack, said police.
The incident took place in Kanhe village in Wadgaon Maval area, they said.
After committing the act, the man surrendered before the Wadgaon Maval police, they said.
"The man suspected that his wife was having an affair with their neighbour and the couple often used to fight over the issue," said a police officer.
"He then came to the police station and surrendered. When a team reached his house, we found family members lying in a pool of blood.
"All the family members and the neighbour were rushed to a hospital, where the accused's wife and son were declared dead on arrival," said the officer.
He said the couple's daughter and the neighbour are undergoing treatment.
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