Collected resources:
Introductory option pricing information:
Four Derivations of the Black-Scholes Formula (best one)
FAQ’s in Option Pricing Theory
More advanced stuff:
First Hitting Time and Expected Discount Factor
The Ins and Outs of Barrier Options: Part 2 (really good source. explains how to derive rebate terms in barrier pricing)
“up and out call” absorbing barriers
greens function absorbing and reflecting (fourier series are the solution of 2nd order partial differential equations. some of these series have closed form solutions. related: Heat kernel)
automatic exercise capped call options
General Relativity Intros
Einstein’s Paper: “Explanation of the Perihelion Motion of Mercury from General
Relativity Theory”