This study compares two finite difference schemes to solve the Black–Scholes (BS) model for option pricing. The explicit scheme with eliminating the need for far-field boundary conditions, through progressive domain reduction during time iteration coupled with a Saul’yev-type temporal discretization. The second one is an implicit finite difference scheme with operator splitting method. These two schemes have been compared for speed and accuracy in pricing several single and multi-asset European options. Standard computational tests demonstrate their performances for different options.
