4,143 research outputs found
A Path Integral Way to Option Pricing
An efficient computational algorithm to price financial derivatives is
presented. It is based on a path integral formulation of the pricing problem.
It is shown how the path integral approach can be worked out in order to obtain
fast and accurate predictions for the value of a large class of options,
including those with path-dependent and early exercise features. As examples,
the application of the method to European and American options in the
Black-Scholes model is illustrated. A particularly simple and fast
semi-analytical approximation for the price of American options is derived. The
results of the algorithm are compared with those obtained with the standard
procedures known in the literature and found to be in good agreement.Comment: 20 pages, 2 figures, 3 table
Next-to-Leading Photonic Corrections to Small-Angle Bhabha Scattering in the Structure Function Formalism
A general method for computing and higher-order
next-to-leading photonic corrections is presented and applied to the precision
calculation of the small-angle Bhabha scattering cross section in the
phase-space region of interest for the luminosity measurement at LEP. The
formulation is based on a proper matching of exact results
with higher-order corrections in the Structure Function formalism. The results
of the approach are analytically compared with theoretical calculations, both
for - and -channel processes, available for simple Event Selections.
Numerical predictions for realistic Event Selections are also provided and
critically compared with the ones existing in the literature.Comment: 16 pages, gzip'ed uuencoded tar fil
Six-Fermion Calculation of Intermediate-mass Higgs Boson Production at Future Colliders
The production of an intermediate-mass Higgs boson in processes of the kind
fermions at the energies of future linear colliders is studied.
The recently developed and fully automatic algorithm/code ALPHA is used to
compute the tree-level scattering amplitudes for the reactions . The code has been interfaced with the Monte Carlo program HIGGSPV/WWGENPV,
properly adapted to 6-fermion production, in order to provide realistic
results, both in the form of cross sections and event samples at the partonic
level. Phenomenological results, that incorporate the effects of initial-state
radiation and beamstrahlung, are shown and commented, emphasizing the
potentials of full six-fermion calculations for precise background evaluation
as well as for detailed studies of the fundamental properties of the Higgs
particle.Comment: 31 pages, LaTeX, 15 eps low-resolution figures include
Higher-order QED corrections to single-W production in electron-positron collisions
Four-fermion processes with a particle lost in the beam pipe are studied at
LEP to perform precision tests of the electroweak theory. Leading higher-order
QED corrections to such processes are analyzed within the framework of the
Structure Functions (SF) approach. The energy scale entering the QED SF is
determined by inspection of the soft and collinear limit of the O(alpha)
radiative corrections to the four-fermion final states, paying particular
attention to the process of single-W production. Numerical predictions are
shown in realistic situations for LEP experiments and compared with existing
results. A Monte Carlo event generator, including exact tree-level matrix
elements, vacuum polarization, higher-order leading QED corrections and
anomalous trilinear gauge couplings, is presented.Comment: LaTeX (using elsart), 21 pages, 8 .ps figure
Radiative four-fermion processes at LEP2
The production of four fermions plus a visible photon in electron-positron
collisions is analyzed, with particular emphasis on the LEP2 energy range. The
study is based on the calculation of exact matrix elements, including the
effect of fermion masses. In the light of the present measurements performed at
LEP, triple and quartic anomalous gauge couplings are taken into account. Due
to the presence of a visible photon in the final state, particular attention is
paid to the treatment of higher-order QED corrections. Explicit results for
integrated cross sections and differential distributions are shown and
commented. The features of the Monte Carlo program WRAP, used to perform the
calculation and available for experimental analysis, are described.Comment: LaTeX, 14 pages, 6 tables, 13 figures. Numerical results added,
version to appear in Eur. Phys. J.
Multi-photon corrections to W boson mass determination at hadron colliders
The impact of higher-order final-state photonic corrections on the precise
determination of the W-boson mass at the Tevatron and LHC colliders is
evaluated. The W-mass shift from a fit to the transverse mass distribution is
found to be about 10 MeV in the W --> mu nu channel and a few MeV in the W -->
e nu channel. The calculation, which is implemented in the Monte Carlo event
generator HORACE for data analysis, can contribute to reduce the uncertainty
associated to the W mass measurement at present and future hadron collider
experiments.Comment: 3 pages, 2 figures, to appear in the proceedings of International
Europhysics Conference on High-Energy Physics (EPS 2003), Aachen, Germany,
17-23 Jul 200
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