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

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) $\gamma \leq 0$ .