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The Constant Elasticity of Variance (CEV)Ito Process Is as Follows dS=μSdt+σSydWd 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: dS=μSdt+σSydWd S = \mu S d t + \sigma S ^ { y } d W In order to mimic the leverage effect it is required that


A) ?>1? > 1
)
B) ?=1? = 1
)
C) 0<?<10 < ? < 1
)
D) γ≤0\gamma \leq 0
)

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