  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.
