'somewhat'.Also, this old thread, unfortunately somewhat corrupted, has a nice tricky case for testing putative SABR MC's or other approaches.
I've seen worse, e,g. my [$]e^5[$] and the horrendous Heston benchmark.I didn't want to completely discourage the OP from clicking on it.
In a second step, once the method acquired (come on, it is a quite straightforward method), toy trying to code it to best learn !Dear members,
I am looking for any paper comparing the SABR approximated formulas against a MC simulation.
I found a couple of papers by OOsterlee et al. but, in my opinion, they are too complex to start with, I am looking something basic.
Thank you in advance for any suggestion!