2014 M.A. graduate Malihe Alikhani completed her Master’s project on American option pricing and optimal stopping for success runs. She participated in the Cornell Summer School in Probability 2014.
Her project constitutes one of the parts of the new paper Pricing Complexity Options, which appeared in
Algorithmic Finance, 2015.
The best version of the paper is at arxiv.org
The ideas are implemented in the Complexity Option Game!