I am writing an implementation of the explicit finite difference method to price a standard european call option, and comparing the results to the corresponding analytical value to gauge the error both in time and space/price. This is the error curve I get for fixed dt = 1.0e-5 and plotting as a function of ds:
Recalling that the finite difference for BS is of order ds^2, the behaviour of the curve seems appropriate, except for those strange oscillations. Has anyone seen anything like it? What could be the reason for such strange behaviour?