Answer: on the rose with the black ribbon, that is placed on Christine's grave
We first see the ring during the 'Masquerade' number, hanging from a chain around Christine's neck. After the Phantom makes his entrance, he rips the chain off of her and takes the ring with him, back to his lair. He then puts it into Christine's palm, and folds her fingers over it, after he has had her don the wedding dress. She puts it on her finger just before she kisses him in order to save Raoul's life. After the Phantom releases them, she returns and puts it into his hand. The Phantom then leaves it on the headstone, years later.