  In this paper we focus on the subdiffusive Black Scholes model. The main part
of our work consists of the finite difference method as a numerical approach to
the option pricing in the considered model. We derive the governing fractional
differential equation and the related weighted numerical scheme being a
generalization of the classical Crank-Nicolson scheme. The proposed method has
$2-\alpha$ order of accuracy with respect to time where $\alpha\in(0,1)$ is the
subdiffusion parameter, and $2$ with respect to space. Further, we provide the
stability and convergence analysis. Finally, we present some numerical results.
