The main objective of this paper is to describe an alternative model to value Brazilian DI Future option. And so, we will make use of the classical derivatives theory, in particular, to the model introduced by Black for options on commodities future contracts. For such instrument, the analytical solution is not possible to be obtained due to the non-linear formulation of the pay-off (Risk Neutral Valuation). The theory defines the differential equation that describes the asset price behavior, in this case the financial operation agreed, as function of the underlying variables that govern its behavior. In the present work some simplifications had been carried through, regarding the non-adoption of a stochastic model to represent the future behavior of the risk-free rate, being defined as a deterministic parameter in the model. One must bear in mind that such simplification does not invalidate the results; on the contrary, McConnell e Schwartz [17] shows that the trade-off between the practicability and the profit in term of the results makes questionable the use of the more sophisticated model. Having the differential equation that governs the behavior of the derivative contract price, a numerical procedure is carried out - Explicit Finite Differences Method (EFDM).