Microsoft Office Excel 2010 is a powerful and widely used tool with which you can create and format spreadsheets, and analyze and share information to make more informed decisions. It allows you to import, organize and explore massive data sets within spreadsheets and then communicate your analysis with professional-looking charts. Excel 2010 also provides tools to “see” important trends and find exceptions in your data.
The Black-Scholes model is used to calculate a theoretical call and put price using the five key determinants of an option’s price: stock price, strike price, volatility, time to expiration, and short-term (risk free) interest rate. The workload is execution of approximately 300,000 iterations of Monte Carlo simulation using the Black-Scholes basic option pricing formula in Microsoft Excel 2010. In addition, the workload uses Excel lookup functions to compare the put price from the model with the historical market price for 50,000 rows to understand the convergence. The input file is a ~70 MB spreadsheet.
Benchmark Results: Intel pretty much dominates this Excel 2010 benchmark, but the Phenom II X4 975 BE performs slightly better than the Intel Core i5 661 for a slightly lower price point.