The Constant Elasticity of Variance (CEV) Ito Process Is as Follows

question 20

Multiple Choice

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

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

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