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Introduction to Monte Carlo simulation
Et cetera: Microsoft Excel 2007, Sandra XII
Microsoft Excel 2007




Microsoft Office Excel 2007 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 2007 also provides tools to “see” important trends and find exceptions in your data.

The Black-Scholes model is used in our Excel test 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.
This workload calculates the European Put and Call option valuation for Black-Scholes option pricing using Monte Carlo simulation. It simulates the calculations performed when a spreadsheet with input parameters is updated and must recalculate the option valuation. In this scenario we execute approximately 300,000 iterations of Monte Carlo simulation. 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 70.1 MB spreadsheet and with 10 times the calculations of the first test; this one should take a bit longer to complete.
Benchmark Results: With 300,000 iterations of Monte Carlo simulation taking place in this benchmark, it takes all the processors a bit longer to finish as it puts a good load on the system. The Intel Core i7-975 was 48% slower than the 980X processor, which is what we want to see as it has 50% more threads and this test put the CPU at a constant 100% work load across all 12 threads of the processor