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

Name: 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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Question

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) $\gamma \leq 0$ .

Quizplus · Accepted Answer

The Answer is C

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