Faculty adviser: Bilyk DmytroThe exact solution of the Black-Scholes equation involves stochastic term, which made it time-consuming to calculate. Therefore, I try to find a way to solve the Black-Scholes equation numerically to avoid evaluating the stochastic term. In this paper, I use forward difference, backward difference, and Crank-Nicolson method to discretize the equation and Jacobi method, Gauss-Seidel method and Succesive Over Relaxation (SOR) Method are used to speed up the matrix operation process.This research was supported by the Undergraduate Research Opportunities Program (UROP)
