Efficient and robust calibration of the Heston option pricing model for\n American options using an improved Cuckoo Search Algorithm

In this paper an improved Cuckoo Search Algorithm is developed to allow for\nan efficient and robust calibration of the Heston option pricing model for\nAmerican options. Calibration of stochastic volatility models like the Heston\nis significantly harder than classical option pricing models as more parameters\nhave to be estimated. The difficult task of calibrating one of these models to\nAmerican Put options data is the main objective of this paper. Numerical\nresults are shown to substantiate the suitability of the chosen method to\ntackle this problem.\n