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

O(α2){\cal O} (\alpha^2) Next-to-Leading Photonic Corrections to Small-Angle Bhabha Scattering in the Structure Function Formalism

A general method for computing ${\cal O} (\alpha^2)$ 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 $\cal O (\alpha)$ results with higher-order corrections in the Structure Function formalism. The results of the approach are analytically compared with theoretical calculations, both for $s$- and $t$-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 e+e−e^+ e^- Colliders

The production of an intermediate-mass Higgs boson in processes of the kind $e^+ e^- \to 6$ 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 $e^+ e^- \to \mu^+ \mu^- \tau^- \bar\nu_{\tau} u \bar d, \mu^+ \mu^- e^- \bar\nu_{e} u \bar d$. 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