### Financial Option Theory with Mathematica -- Basics of SDEs and Option Pricing

This is my first session of my Financial Option Theory with Mathematica track. I provide an introduction to financial options, develop the relevant SDEs (stochastic differential equations), and then apply them to stock price processes and the pricing of (European) options.
You can download the notebook at
https://s3-tracks-notebooks.s3-us-west-2.amazonaws.com/FO-Intro-SDEs.nb
Please also visit my other tracks, for example my Data Science with Mathematica track, https://www.youtube.com/playlist?list=PLaWWOdR4bwEZRN4uhcBwzHh7-Zki3zqj-
Correction: obviously the second moment is the variance, not the standard deviation (the latter is the square root of the variance). Starting around 31:40. So instead of StandardDeviation[NormalDistribution[mu, sigma] with sigma it should be Variance[NormalDistribution[mu, sigma]] with sigma^2. My apologies!