Tag Archives: math note

Math Note #1 (option pricing and GR)

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 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

barrier option absorbing

General Relativity Intros

Einstein’s Paper: “Explanation of the Perihelion Motion of Mercury from General
Relativity Theory”

A No-Nonsense Introduction to General Relativity