This is one of the better books I have found on this topic
The Mathematics of Options Trading by C.B Reehl
http://www.amazon.com/Mathematics-Options-Trading-C-B-Reehl/dp/0071445285
The Mathematics of Options Trading by C.B Reehl
http://www.amazon.com/Mathematics-Options-Trading-C-B-Reehl/dp/0071445285