The Complexity Option Game

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.

Entry at IOS Press

The best version of the paper is at

The ideas are implemented in the Complexity Option Game!