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

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The leverage effect refers to the phenomenon where the volatility of an asset's returns is inversely related to the asset's price. In the CEV model, to mimic this effect, it is required that $0 < \gamma < 1$, which means that as the asset price decreases, its volatility increases, and vice versa.

The Constant Elasticity of Variance (CEV)Ito Process Is as Follows dS=μSdt+σSydWd S = \mu S d t + \sigma S ^ { y } d WdS=μSdt+σSydW

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