DOC: fix SA01 for pandas.set_option (#58882)

Author: tuhinsharma121

ci/code_checks.sh

@@ -488,7 +488,6 @@ if [[ -z "$CHECK" || "$CHECK" == "docstrings" ]]; then
         -i "pandas.read_spss SA01" \
         -i "pandas.reset_option SA01" \
         -i "pandas.set_eng_float_format RT03,SA01" \
-        -i "pandas.set_option SA01" \
         -i "pandas.show_versions SA01" \
         -i "pandas.testing.assert_extension_array_equal SA01" \
         -i "pandas.testing.assert_series_equal PR07,SA01" \

pandas/_config/config.py

@@ -211,6 +211,14 @@ def set_option(*args) -> None:
     TypeError if keyword arguments are provided
     OptionError if no such option exists
 
+    See Also
+    --------
+    get_option : Retrieve the value of the specified option.
+    reset_option : Reset one or more options to their default value.
+    describe_option : Print the description for one or more registered options.
+    option_context : Context manager to temporarily set options in a ``with``
+        statement.
+
     Notes
     -----
     For all available options, please view the :ref:`User Guide <options.available>`