This paper focuses on the numerical solution of the Black-Scholes equation (BSE), which is
used in finance to price options. The modified version of BSE to heat equation is subjected to twotime level finite difference method such as the Crank-Nicolson method and three-time level finite
difference method such as the DuFort-Frankel method. The error dynamics is represented by the
Global Spectral Analysis (GSA) method, which contradict the error dynamics of the von Neumann
method, where the signal and error follow the same difference equation. For different maturities,
volatilities and interest rates, both techniques are tested for accuracy. For the converted heat
equation of BSE, the three-time level method is determined to be more accurate than the two-time
level method. Finally, we conclude that risk can be reduced by short-term investment in a lowinterest, high-volatility market with a good approximation using the three-time level finite
difference method for European call option for converted BSE to heat equation.