Title: Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm
Abstract: In this paper an improved Cuckoo Search Algorithm is developed to allow for an efficient and robust calibration of the Heston option pricing model for American options. Calibration of stochastic volatility models like the Heston is significantly harder than classical option pricing models as more parameters have to be estimated. The difficult task of calibrating one of these models to American Put options data is the main objective of this paper. Numerical results are shown to substantiate the suitability of the chosen method to tackle this problem.
Publication Year: 2015
Publication Date: 2015-07-01
Language: en
Type: preprint
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