Finite difference methods are used to price options by approximating the (continuoustime)differential equation that describes how an option price evolves over time by a set of (discrete-time) difference equations.The discrete difference equations may then be solved iteratively to calculate a price for the option.In the current research,we employ wavelet analysis to option pricing problems manifested as partial differential equation with jump characteristics.We have used wavelets to develop an optimum finite differencing of the differential equationsmanifested by financial models.Further work on implementation is developing.