The Constant Elasticity of Variance (CEV)Ito Process Is as Follows $d S = \mu S d t + \sigma S ^ { y } d W$

question 7

Multiple Choice

The constant elasticity of variance (CEV) Ito process is as follows: $d S = \mu S d t + \sigma S ^ { y } d W$ In order to mimic the leverage effect it is required that

• A) \(? > 1\)
• )
• B) \(? = 1\)
• )
• C) \(0 < ? < 1\)
• )
• D) \(\gamma \leq 0\)
• )

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