Hi radhikanangia, I didn't look at your code, and I don't think I will have time to. I have to say I like a lot the paper that you are trying to replicate.One thing: I don't think you need any finite differences. For the setup in the paper, quadrature is enough. I believe it will be much faster and more stable than using finite differences. Where finite differences come into play, and where you could write a nice project, is if the option is American. Also, I guess with some thinking the model could be modified to account for smile, but this seems to me to be quite a bit more complicated. Good luck.