The article reviews different models used to price options and how they compare to the Black-Scholes model. Trinomial models are more accurate than binomial models with fewer steps. The Kamrad-Ritchken and Boyle models converge faster than binomial models. The Jarrow-Rudd model is the most efficient binomial model. Improved binomial models like the Haahtela model are also converging faster to the Black-Scholes model. After some trials, the binomial distribution follows the log-normal distribution assumed by the Black-Scholes model.