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

The Character of Z-pole Data Constraints on Standard Model Parameters

Despite the impressive precision of the Z-pole measurements made at LEP and SLC, the allowed region for the principle Standard Model parameters responsible for radiative corrections (the mass of the Higgs, the mass of the top and alpha(Mz)) is still large enough to encompass significant non-linearities. The nature of the experimental constraints therefore depends in an interesting way on the "accidental" relationships among the various measurements. In particular, the fact that the Z-pole measurements favor values of the Higgs mass excluded by direct searches leads us to examine the effects of external Higgsstrahlung, a process ignored by the usual precision electroweak calculations.Comment: 9 pages, 6 figures, REVTeX format; added reference in section IV; added paragraph on widths and a few cosmetic changes to correspond to published versio

Passionnee : Valse

https://digitalcommons.library.umaine.edu/mmb-ps/1578/thumbnail.jp

Matrix elements and Parton Shower in the event generator BABAYAGA

A new version of the event generator BABAYAGA is presented, which is based on an original matching of the Parton Shower approach with the complete exact O(alpha) matrix element for the inclusion of the QED radiative corrections to the Bhabha process at flavour factories. The theoretical accuracy of the improved generator is conservatively estimated to be 0.2%, by comparison with independent calculations. The generator is a useful tool for precise luminosity determination at flavour factories, for center of mass energies below 10 GeV.Comment: 4 pages, 2 figures. To appear in the proceedings of the International Workshop e+ e- Collisions from phi to psi, Novosibirsk (Russia), 27 Feb - 2 Mar 200

Precision Measurements of the W-Boson Mass

The Standard Model of electroweak interactions has had great success in describing the observed data over the last three decades. The precision of experimental measurements affords tests of the Standard Model at the quantum loop level beyond leading order. Despite this great success it is important to continue confronting experimental measurements with the Standard Model predictions as any deviation would signal new physics. As a fundamental parameter of the Standard Model, the mass of the W-boson, M_W, is of particular importance. Aside from being an important test of the SM itself, a precision measurement of M_W can be used to constrain the mass of the Higgs boson, M_H. In this article we review the principal experimental techniques for determining M_W and discuss their combination into a single precision M_W measurement, which is then used to yield constraints on M_H. We conclude by briefly discussing future prospects for precision measurements of the W-boson mass.Comment: 37 pages, 13 figures, LaTex, to be published in volume 50 of Annual Review of Nuclear and Particle Scienc