efficient and robust calibration of the heston option pricingsearch algorithm赫斯顿期权定价地高效稳健校正 使用改良布谷鸟地美式期权模型 搜索算法.pdf

Efficient and robust calibration of the Heston option pricing
model for American options using an improved Cuckoo
Search Algorithm
Stefan Haring Ronald Hochreiter
August 3, 2015
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.
Keywords. Option pricing, Heston model, Cuckoo search, Finance
1 Introduction
The classical textbook example for pricing options is the famous Black-Scholes model, see [1].
Since its creation in 1973, it has caused a dramatic increase in options trading because of its