In this thesis we consider two models for the computation of option prices. The first one is a generalization of the Black-Scholes model. In this generalization the volatility Sigma is not a constant. In the simplest case it changes at once at a certain time moment Tau. In some sense this is the conditionally Levy model. For this generalized Black-Scholes model have been theoretically obtained formulas for vanilla Call/Put option prices. Under the assumption of a good prediction of the parameter Sigma the obtained numerical results fit the real dara better than standard Black-Scholes model.

Second model is an exponential Levy model, where a Levy process is the CGMY process. We use the finite-difference scheme for computations of option prices. As example we consider vanilla Call/Put, Double-Barrier and Up-and-out options. After the estimation of the parameters of the CGMY process by the method of moments we obtain options prices and calculate fitting error. This fitting error for the CGMY model is smaller than for the Black-Scholes model.