Option Valuation Research

This research paper employs the finite difference method to solve the Black-Scholes-Merton equation, and subsequently calculates the prices of options using the Implicit, Explicit, and Crank-Nicolson Methods. Additionally, a comparative analysis was conducted using the Binomial Cox-Ross-Rubinstein Model. The study's conclusion highlights the alignment of the Explicit, Implicit, and Crank-Nicolson Methods with Black-Scholes' values, emphasizing the faster convergence of the Crank-Nicolson method. As a result, the finite difference model was favored over the Binomial Cox-Ross-Rubinstein Model for options pricing.