  Option contracts can be valued by using the Black-Scholes equation, a partial
differential equation with initial conditions. An exact solution for European
style options is known. The computation time and the error need to be minimized
simultaneously. In this paper, the authors have solved the Black-Scholes
equation by employing a reasonably accurate implicit method. Options with known
analytic solutions have been evaluated. Furthermore, an overall second order
accurate space and time discretization is proposed in this paper Keywords:
Computational finance, implicit methods, finite differences, call/put options.
