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Vega of a call option

Kamil

Joined
2/13/12
Messages
3
Points
11
Reading Hull chapter 15 he says vega of a call option is always positive and provides a formula from taking a derivative of the BS formula. However, if I consider some stochastic volatility model, one of the classic ones, say Heston, would the vega still be positive?

and another question: if we consider a binomial tree we have a "skewness of the binomial distribution", but once we have number of nodes going to infinity the skewness gets lost. Can someone explain that in other words? I read the skewness is dependence of volatility on strike, is there another meaning for that here?

Thanks!
 
the vega of a vanilla option will always be positive no matter what model you choose - why should this be model dependent?
 
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