Collected resources: Introductory option pricing information: Four Derivations of the Black-Scholes Formula (best one) FAQ’s in Option Pricing Theory Merton Model 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… Continue reading Math Note #1 (option pricing and GR)