I am computing European Option Sensitivity as: Delta, Vega and Gamma. I am using Heston Model to simulation spot and the variance.
While computing Delta and Gamma, I understand, we need to bump spot by 1 unit and re-compute option price(for delta) and delta(for gamma) respectively. My results matched with the Bloomberg delta and gamma values.
However, for computation of vega, what else needs to be bumped other than initial variance(v0) since vega is a function of theta(long term mean of variance) as well. If I just bump initial variance(v0) and re-compute the option price, my vega is underestimated.
I was also referring to the similar question: Vega in the Heston model, but it doesn't provides any specific answer
Any help is appreciated.