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Spanning with Index Options

Published online by Cambridge University Press:  06 April 2009

Jin-Chuan Duan ,
Arthur F. Moreau  and
C. W. Sealey
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Abstract

Current literature stresses that efficient funds do not exist when asset returns are continuously distributed. This paper shows that the existence of efficient funds can be restored if security returns are generated by a linear factor model.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 27 , Issue 2 , June 1992 , pp. 303 - 309
Copyright
Copyright © School of Business Administration, University of Washington 1992

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