It seems like everyone here is MC but you can use PDE methods as well.
Anyway there is two things that you can usually check, the Price and ... the Hedge (or replication price).
Let's look at the first case:
If you have closed-form formulas (as is usually the case in the BS "fantas(ma)tic-wishfull thinking"-setting), then that's all you need. If not, then you are not comfortable with your math (or your model but this is another issue).
If you don't have such an analytical solution at hand, then usually MC comes in naturally (as every one suggests here) but you could use PDE methods aswell (after all it was the original methods for derivation of the BS Call/Put options prices). And you have plenty of books and nice articles that will tell you how to proceed in both cases (especially in BS settings). An easy check that I recommand, is to compare the "closed-form formulas" vs "MC (and/or PDE)" in the vanilla cases. Moreover those methods provide a good introdution to the replication prices that you might be willing to check in the second case.
Note that by using finite difference (or element) methods for the PDE you get an error and that when using discretization sheme for SDE you get at the of the day "random variable" for your P&L. There it is really a matter of taste in my opinion both methods have pros and cons.
For the second case, that I called replication price then it is usually provided in a (at least in principle) straigthforward manner of the methods you used for the PDE and/or SDE discretization.
Still regarding the replication prices, the very recent article of Wilmott and Ahmad "Which Free Lunch Would You Like Today, Sir?: Delta Hedging, Volatility Arbitrage and Optimal Portfolios" is really illuminating in many ways and stays in the BS setting you want to stay within I think you should read it.