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I'm new here and I hope you guys can help me.

I want to calculate/simulate the Vega for my Asian option in the Heston model. The only source I found is the paper of Broadie/Kaya (2004) but they just mentioned the other greeks.

Do someone know other sources or a method how I can simulate the Vega precisly?

Thank you a lot!!!

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Chan, Jiun Hong and Joshi, Mark S. and Zhu, Dan, First and Second Order Greeks in the Heston Model (December 26, 2010). Available at SSRN: https://ssrn.com/abstract=1718102 or http://dx.doi.org/10.2139/ssrn.1718102

should just about cover it.

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