text:
# Giant enhancement of the thermal Hall conductivity 𝜅_{𝑥𝑦} in the superconductor YBa₂Cu₃O₇

## Abstract

In high-purity crystals of $`\mathrm{YBa}_2\mathrm{Cu}_3\mathrm{O}_7`$, the quasiparticle (qp) lifetime $`\tau `$ and the (weak-field) thermal Hall conductivity $`\kappa _{xy}`$ undergo dramatic increases below 90 K. We present a detailed picture of the behavior of $`\kappa _{xy}`$ at low temperature, in particular its scaling properties, which are directly relevant to the issue of whether Landau quantization of the qp states occurs.

The problem of excitations of the superconducting condensate in the cuprates at low temperatures is of strong current interest. In a $`d`$-wave superconductor, the energy-momentum dispersion of quasiparticles near a node is Dirac-like. The effect of an intense magnetic field on the quasiparticle (qp) states is an interesting open question . Landau quantization of the qp states, first proposed by Schrieffer and Gorkov , has been recently re-derived using different arguments . However, the case against Landau-level formation has also been argued .

A second problem is the temperature dependence of the qp mean-free-path $`\mathrm{}`$ (in zero field) close to $`T_c`$. Transport evidence from thermal conductivity , microwave and teraHertz experiments , and thermal Hall conductivity  point to a sharp increase in the qp lifetime just below $`T_c`$. Recent high-resolution angle-resolved photoemission (ARPES) experiments  have started to address the lifetime issue as well, but with conflicting results (see below).

These issues reflect the strong interest in the low-lying excitations of the $`d`$-wave superconductor. While microwave absorption and ARPES experiments provide valuable information on the quasiparticles, they are less effective in a field. For in-field experiments, teraHertz techniques  and the thermal Hall effect , in particular, have emerged as powerful probes of qp transport. In a field, the qp heat current develops a transverse component that is observed as a thermal Hall conductivity $`\kappa _{xy}`$ (by contrast, phonons do not display a Hall effect since they are charge-neutral). Hence, $`\kappa _{xy}`$ selectively senses the qp current alone . To fully exploit this technique at low temperatures, however, samples with a very long $`\mathrm{}`$ are needed.

A recent innovation is the growth, using $`\mathrm{BaZrCO}_3`$ (BZO) crucibles, of crystals of $`\mathrm{YBa}_2\mathrm{Cu}_3\mathrm{O}_\mathrm{y}`$ (YBCO) with nearly perfect crystalline order (from x-ray rocking curves ) and very low impurity concentration. The step-wise improvement in crystal quality results in strong enhancements of the qp lifetime $`\tau `$. A number of novel features of qp heat transport become apparent in these crystals. The weak-field $`\kappa _{xy}`$ undergoes a remarkable thousand-fold increase between $`T_c`$ and 30 K. Below 30 K, the curves of $`\kappa _{xy}`$ vs $`H`$ provide new, specific information on scaling behavior at low $`T`$ . Both features are directly relevant to the two issues mentioned above.

Among the cuprates, 90-K $`\mathrm{YBa}_2\mathrm{Cu}_3\mathrm{O}_7`$ displays the largest in-plane thermal conductivity anomaly. In BZO-grown crystals, this anomaly is further enhanced, as shown in the inset in Fig. 1. The longitudinal thermal conductivity $`\kappa _{xx}`$ ($`T𝐚`$) in BZO crystals (solid circles) attains a peak value that is $`80\%`$ larger than that seen in typical, non-BZO detwinned crystals (open circles). To isolate the qp current, we turn to $`\kappa _{xy}`$. The main panel of Fig. 1 displays traces of $`\kappa _{xy}`$ vs. field $`B`$ from 85 to 40 K . As in earlier studies , the initial slope $`\kappa _{xy}^0/Blim_{B0}\kappa _{xy}/B`$ increases very rapidly as the temperature $`T`$ falls below $`T_c`$. Further, the curves are strongly non-linear in $`H`$. Both features reflect a $`\tau `$ that increases rapidly with decreasing $`T`$. An important new feature, absent in previous studies, is the prominent ‘overshoot’ that produces a maximum in $`\kappa _{xy}`$ at the field scale $`H_{max}`$. As $`T`$ falls below 40 K (see Fig. 2), the peak continues to narrow. For later reference, we note that, over a broad range of temperatures (10 $`<T<`$70 K), $`H_{max}`$ varies as $`T^2`$. Moreover, at low temperatures ($`T<`$28 K), the peak magnitude $`\kappa _{xy}^{max}`$ also scales as $`T^2`$.

The initial slope $`\kappa _{xy}^0/B`$, plotted as solid circles in Fig. 3, undergoes a thousand-fold increase between $`T_c`$ and 30 K (the $`T`$-linear variation of $`\kappa _{xy}`$ above $`T_c`$ are displayed as open circles ). We now show that this giant enhancement is driven by a 100-fold increase in the qp lifetime.

To extract the zero-field mean-free-path (mfp) $`\mathrm{}`$ from $`\kappa _{xy}^0/B`$, we apply the Boltzmann-equation approach , which should be valid in the weak-field regime $`\omega _c\tau 1`$ ($`\omega _c`$ is the cyclotron frequency). In terms of the ‘qp heat capacity’ $`c_e=T^1_𝐤(f/E_𝐤)E_𝐤^2`$ where $`E_𝐤`$ is the qp energy, the zero-$`H`$ thermal conductivity may be written as $`\kappa _e=c_ev\mathrm{}/2`$, with the group velocity $`𝐯_𝐤=E_𝐤/\mathrm{}`$. (Close to a node $`𝐤^{}`$, the qp energy may be approximated as $`E_𝐪=\mathrm{}\sqrt{(v_fq_1)^2+(v_\mathrm{\Delta }q_2)^2}`$, where $`v_f`$ and $`v_\mathrm{\Delta }`$ are velocity parameters normal and parallel to the FS, and $`𝐪=𝐤𝐤^{}`$.)

The thermal Hall conductivity is related to $`\kappa _e`$ by $`\kappa _{xy}=\kappa _e\mathrm{tan}\theta `$. We assume that, in the weak-field limit, the thermal Hall angle $`\mathrm{tan}\theta `$ is proportional to $`\omega _c\tau `$, viz.

$$\mathrm{tan}\theta =\eta \omega _c\tau =\eta \mathrm{}/k_F\mathrm{}_B^2,(B0)$$
(1)
where the magnetic length $`\mathrm{}_B=\sqrt{\mathrm{}/eB}`$. The parameter $`\eta `$ is less than 1 if $`\mathrm{}`$ is anisotropic around the FS. To obtain $`\mathrm{tan}\theta `$ , we first fit the profile of $`\kappa _{xx}`$ vs. $`H`$ to the empirical expression $`\kappa _{xx}(B,T)=\kappa _e^0(T)/[1+p|B|^\mu ]+\kappa _{bg}(T)`$, where the background term $`\kappa _{bg}(T)`$ is $`H`$-independent and identified with the phonon contribution. The initial Hall angle is then obtained as  $`\mathrm{tan}\theta =lim_{B0}\kappa _{xy}(B)/[\kappa _{xx}(B)\kappa _{bg}].`$ This procedure allows us to extract $`\mathrm{tan}\theta `$ (hence, $`\mathrm{}`$ using Eq. 1).

As a consistency check, we adopt a second way to obtain $`\mathrm{}`$ from $`\kappa _{xy}^0`$ that relies on measurements of the electronic heat capacity $`c_e`$. Using Eq. 1, we may write

$$\kappa _{xy}^0=\frac{c_ev_f\mathrm{}^2\eta }{4k_f\mathrm{}_B^2}$$
(2)
In a $`d`$-wave superconductor, $`c_e=\alpha _cT^2`$ for $`T<T_c`$. Using the measured value $`\alpha _c0.064\mathrm{mJK}^3\mathrm{mol}^1`$ , we may invert Eq. 2 to find $`\mathrm{}`$. We find that the values of $`\mathrm{}`$ obtained from the two methods share the same $`T`$ dependence, but differ by a fixed factor of 1.5 if $`\eta =1`$. By adjusting $`\eta `$ to 0.6, we obtain numerical agreement between the two methods.

Figure 4 shows the $`T`$ dependence of $`\mathrm{}`$ derived from the two methods. The agreement between the two sets of data is evidence that our assumption Eq. 1 is physically reasonable. Remarkably, between $`T_c`$ and 20 K, the mfp increases by a factor of $``$120 from 80 A to 1 micron. In the expanded scale, we show that this increase is abrupt, starting slightly below $`T_c`$.

\[For comparison, $`\mathrm{tan}\theta `$ measured previously in a non-BZO crystal  is shown as $`\times `$. Based on the higher sensitivity and broader range in $`T`$ in the present experiment, we now conclude that $`\mathrm{tan}\theta `$ does not lie on the extrapolated curve for the electrical Hall angle $`\mathrm{tan}\theta _e`$.\]

Beyond the weak-field regime, we need a fully microscopic description of the qp thermal Hall current to properly analyze $`\kappa _{xy}`$ vs. $`H`$. As the theoretical situation is unsettled, we adopt instead scaling arguments . This approach reveals some rather striking features in the data.

For states close to the node $`𝐤^{}`$, the linear energy dispersion $`E=\mathrm{}\overline{v}q`$ ($`\overline{v}`$ is an average velocity) implies a general relation between $`k_BT`$ and the magnetic length $`\mathrm{}_B`$ at a characteristic field scale $`B_s`$, viz.

$$k_BT=\mathrm{}\overline{v}\sqrt{\frac{eB_s}{\mathrm{}}}.$$
(3)
In addition to this general relation, Simon and Lee  have proposed that, at low $`T`$ ($`<`$30 K for YBCO), the magnitude of $`\kappa _{xy}`$ should scale as

$$\kappa _{xy}(H,T)T^2F_{xy}(\sqrt{H}/\alpha T),$$
(4)
where $`\alpha k_B/\overline{v}\sqrt{e\mathrm{}}`$, and $`F_{xy}(u)`$ is a scaling function of the dimensionless parameter $`u=\sqrt{H}/\alpha T`$. Hence, plots of $`\kappa _{xy}/T^2`$ versus $`\sqrt{H}/T`$ should collapse to the universal curve $`F_{xy}(u)`$.

We proceed to plot our results in this way in Fig. 5. While the curves above 28 K are spread out, the ones below collapse onto a common curve for $`H<H_{max}`$. The data taken at 25 K (and below) collectively determine the form of $`F_{xy}(u)`$. Its most notable feature is the nominally straight segment that extends from $`u0`$ to just below $`u_0\sqrt{H_{max}}/\alpha T`$, i.e. $`F_{xy}(u)u`$ for $`0<u<u_0`$. This simple form for $`F_{xy}`$ implies that, below 25 K and for $`H<H_{max}`$, $`\kappa _{xy}`$ reduces to the form

$$\kappa _{xy}(H,T)=C_0T\sqrt{H},$$
(5)
where the constant $`C_0=1.51\times 10^2`$ in SI units. Remarkably, when Eq. 5 applies, the magnitude of $`\kappa _{xy}`$ is just proportional to $`T\sqrt{H}`$, and is insensitive to all transport quantities such as $`\mathrm{}`$ and $`\theta `$. This interesting result has not been anticipated theoretically.

At larger values of $`u`$, $`F_{xy}`$ attains a maximum value $`F_{xy}^0`$ before falling slowly. The $`T^2`$ dependence of the peak value $`\kappa _{xy}^{max}`$ noted earlier in Fig. 2, is now seen to be a simple consequence of scaling behavior (i.e. $`\kappa _{xy}^{max}T^2F_{xy}^0`$).

Above 28 K, Simon-Lee scaling no longer holds. Three field regimes are now apparent. In weak fields ($`0<H<H_x`$), $`\kappa _{xy}`$ is strictly linear in $`H`$. Above $`H_x`$, we enter a regime reminiscent of the $`\sqrt{H}`$ behavior at low-$`T`$ (the $`H`$-linear regime is too small to resolve below 28 K). This intermediate regime appears as straight-line segments in Fig. 5. Finally, closer to $`H_{max}`$, $`\kappa _{xy}`$ deviates from $`\sqrt{H}`$ behavior, and goes through a broad maximum. Surprisingly, as noted earlier, the weaker scaling relation in Eq. 3 continues to hold: Between 15 and 70 K, the maximum in $`\kappa _{xy}`$ occurs at the same $`x`$-coordinate in Fig. 5, i.e. $`\sqrt{H_{max}}=0.042T`$. Substituting $`H_{max}`$ for $`B_s`$ in Eq. 3, we find that $`\overline{v}8.0\times 10^6`$ cm/s, which is close to the geometric-mean velocity $`\sqrt{v_fv_\mathrm{\Delta }}6.8\times 10^6`$ cm/s (with $`v_f=1.78\times 10^7`$cm/s  and $`v_f/v_\mathrm{\Delta }7`$).

We may estimate semiclassically the time that an excitation, in a field, takes to move from 1 to 2 along the arc (inset, Fig. 3) by $`\mathrm{\Delta }t=(\mathrm{}/eH)_1^2𝑑s_𝐤𝐯_𝐤^1`$, where $`s_𝐤`$ is the arc-length. For this time to equal $`\tau `$, the field required is $`H_{arc}=\pi E/(ev_\mathrm{\Delta }v_f\tau )`$. Using the measured $`\mathrm{}v_f\tau `$ at each $`T`$ and setting $`E=k_BT`$, we indicate $`H_{arc}`$ as arrows in Fig. 5. This rough estimate shows that the peak is related to the maximum arc length of the dominant energy contour on the Dirac cone. Hence, a detailed analysis of the Hall results should shed important light on the current debate about how vortices affect the qp spectrum. The presence of Landau Levels  or absence  will presumably have a large effect on $`\kappa _{xy}`$. Moreover, the direct measurement of the scaling function $`F_{xy}`$ (Fig. 5) together with the other scaling features uncovered should stringently narrow the range of possibilities in this interesting problem.

The new results on $`\kappa _{xy}`$ also bear on the issue of the change in qp lifetime at $`T_c`$. As discussed, $`\mathrm{}`$ derived from transport undergoes a steep increase just below $`T_c`$ . Recently, ARPES has attained enough resolution to probe the qp spectral peak along the nodal direction in $`\mathrm{Bi}_2\mathrm{Sr}_2\mathrm{CaCu}_2\mathrm{O}_8`$. Valla et al.  find that the width $`\mathrm{\Delta }k`$ ($`1/\mathrm{}_{ARPES}`$) retains its $`T`$-linear dependence across $`T_c`$ (near $`T_c`$ $`\mathrm{}_{ARPES}2530\mathrm{\AA }`$). This appears to be in striking contrast with the transport results. However, Kaminski et al.  resolve a new feature of the qp peak that suggests a rather different picture. Below $`T_c`$, the qp width becomes dramatically narrower provided it is probed within 60 mV of the Fermi energy. They infer that well-defined qp states at the nodes exist only below $`T_c`$. The steep increase in $`\mathrm{}`$ shown in Fig. 4 is in close agreement with Kaminsky et al. The data in Fig. 4 show that $`\mathrm{}`$ increases to $`1\mu `$m below 20 K (implying a peak 200 times narrower than the peaks resolved in the current ARPES studies). Hence, in high-purity YBCO, there are exceedingly sharp qp peaks in the spectral function that remain to be resolved and investigated. Understanding the abrupt appearance of the qp state below $`T_c`$, as implied by the steep increase in $`\mathrm{}`$ and $`\kappa _{xy}^0/B`$ near $`T_c`$, seems a key problem in the cuprates.

The research is supported by the U.S. National Science Foundation (Grant NSF-DMR 9809483, at Princeton), and the Natural Science and Engineering Research Council (Canadian NSERC) and the Canadian Institute for Advanced research (CIAR) at U. British Columbia. N.P.O. also acknowledges support from the U.S. Office of Naval Research (Contract N00014-98-10081) and the New Energy and Industrial Tech. Develop. Org., Japan (NEDO). We thank T.V. Ramakrishnan for valuable comments.


format: text

text:
# On supermembrane actions on Calabi-Yau 3-folds

## 1 Introduction

The study of $`p`$-branes as solitonic solutions of supergravity has now become indispensable for the understanding of nonperturbative effects in superstring theory. On flat spacetimes $`p`$-branes are described by an action which consists of two parts; the Dirac-Born-Infeld (DBI) part, and the Wess-Zumino part. The latter can only be written down for some specific spacetime dimensions. For supermembranes, for instance, it exists only for 4, 5, 7, and 11 spacetime dimensions . Both parts of the action are invariant under the rigid spacetime supersymmetry transformations, however, for a specific choice of normalization of the Wess-Zumino term, the whole action turns out to have an extra local symmetry known as $`\kappa `$-symmetry. The $`\kappa `$-symmetry allows one to remove the redundant fermionic degrees of freedom leaving only the physical ones.

$`p`$-branes (and also D-branes) have so far been studied on flat spacetimes, and in some cases on $`AdS`$ spaces (look at  and the references therein, for instance). On Calabi-Yau manifolds, on the other hand, the action is not known, though, in some cases they have been studied through their low energy effective action , which for D$`p`$-branes is just the dimensional reduction of 10d super Yang-Mills theory down to $`p+1`$ dimensions . Along these lines, an effective action of D-branes on Calabi-Yau 3-folds was also introduced in .

The study of $`p`$-branes on Calabi-Yau 3-folds becomes crucial if we are to learn about the nonperturbative effects of superstring theory or M-theory compactified on such manifolds. So it is of importance to find the effective action of $`p`$-branes on Calabi-Yau manifolds. This note is an attempt to construct the action of supermembranes on Calabi-Yau manifolds. In section 2, we begin with the preliminaries. The field decompositions on Calabi-Yau 3-folds are used to write down the supersymmetric invariant one-forms $`\mathrm{\Pi }`$. However, these forms will not be invariant under supersymmetry transformations as soon as we lift them on Calabi-Yau manifolds. We then show that the supersymmetry transformations on a Calabi-Yau 3-fold can be deformed to look like the BRST transformations. This fact is then used to construct the supersymmetric DBI action of supermembranes.

## 2 Preliminaries and the construction of the action

Consider a Calabi-Yau 3-fold $`M`$ which has the holonomy group $`SU(3)`$. Take $`\theta `$ to be the singlet spinor on $`M`$ with the negative chirality. Then, as in , we can use the following Fierz identities

$`\theta \theta ^{}+{\displaystyle \frac{1}{2}}\gamma ^{\overline{\alpha }}\theta ^{}\theta ^t\gamma _{\overline{\alpha }}={\displaystyle \frac{1}{2}}(1\gamma _7)`$ (1)
$`\theta ^{}\theta ^t+{\displaystyle \frac{1}{2}}\gamma ^\alpha \theta \theta ^{}\gamma _\alpha ={\displaystyle \frac{1}{2}}(1+\gamma _7)`$ (2)
to decompose a complex spinor $`\mathrm{\Psi }=\mathrm{\Psi }_L+\mathrm{\Psi }_R`$ on $`M`$. Here we have used $`\alpha ,\beta ,\gamma ,\mathrm{}`$ to represent the complex tangent indices on $`M`$. This results in

$`\mathrm{\Psi }_L=\theta \psi +{\displaystyle \frac{1}{2}}\gamma ^{\overline{\alpha }}\theta ^{}\psi _{\overline{\alpha }}\mathrm{\Psi }_{}^{}{}_{L}{}^{}=\overline{\psi }\theta ^{}+{\displaystyle \frac{1}{2}}\overline{\psi }_\alpha \theta ^t\gamma ^\alpha `$
$`\mathrm{\Psi }_R=\theta ^{}\chi +{\displaystyle \frac{1}{2}}\gamma ^\alpha \theta \chi _\alpha \mathrm{\Psi }_{}^{}{}_{R}{}^{}=\overline{\chi }\theta ^t+{\displaystyle \frac{1}{2}}\overline{\chi }_{\overline{\alpha }}\theta ^{}\gamma ^{\overline{\alpha }},`$ (3)
where we have defined

$`\psi =\theta ^{}\mathrm{\Psi }_L,\psi _{\overline{\alpha }}=\theta ^t\gamma _{\overline{\alpha }}\mathrm{\Psi }_L`$
$`\chi =\theta ^t\mathrm{\Psi }_R,\chi _\alpha =\theta ^{}\gamma _\alpha \mathrm{\Psi }_R.`$
As $`\theta `$ is a singlet, we have chosen $`\gamma _\alpha \theta =0`$. The covariantly constant forms that can be constructed from $`\theta `$ are the Kähler 2-form $`k_{\alpha \overline{\beta }}=i\theta ^{}\gamma _{\alpha \overline{\beta }}\theta `$, and the holomorphic 3-form $`C_{\alpha \beta \gamma }=\theta ^{}\gamma _{\alpha \beta \gamma }\theta ^{}`$.

As mentioned in the introduction, the supermembrane action can exist in seven dimensions. Therefore we first write the action on flat $`𝐑^7`$ spacetime  using the above decomposition of fields, then we lift it on to $`M\times 𝐑^1`$, where $`𝐑^1`$ represent the time direction.

Let us first recall the construction of the action on flat spacetime . Let $`m,n,\mathrm{}=0,1,2,\mathrm{},6`$ represent the tangent indices on the whole manifold, and $`\mu ,\nu ,\mathrm{}=1,2,\mathrm{},6`$ indicate the indices on $`M`$. $`i,j,k,\mathrm{}=1,2,3`$ will be the tangent indices on the worldvolume of the brane. As for the gamma matrices we take

$$\gamma _6=\gamma _0\gamma _1\mathrm{}\gamma _5,\gamma _7=i\gamma _0,$$

where $`\gamma _\mu `$’s are hermitian and $`\gamma _0^{}=\gamma _0`$. Define

$$\mathrm{\Pi }^m=dX^mi\overline{\mathrm{\Psi }}\gamma ^md\mathrm{\Psi }+id\overline{\mathrm{\Psi }}\gamma ^m\mathrm{\Psi },$$

where $`\overline{\mathrm{\Psi }}=\mathrm{\Psi }^{}\gamma _0`$. $`\mathrm{\Pi }^m`$ is invariant under the following rigid supersymmetry transformations

$$\delta X^m=i\overline{\epsilon }\gamma ^m\mathrm{\Psi }i\overline{\mathrm{\Psi }}\gamma ^m\epsilon ,\delta \mathrm{\Psi }=\epsilon .$$
(4)
Here $`\epsilon =\epsilon _L+\epsilon _R`$ is a constant complex six-dimensional spinor. On $`M`$, $`\epsilon `$ decomposes just like $`\mathrm{\Psi }`$, however, as we are interested in the scalar part of the transformations, we drop the triplet part of the $`\epsilon `$;

$$\epsilon _L=\theta ϵ,\epsilon _R=\theta ^{}\eta .$$
(5)
Using the field decompositions in (3) and (5), the supersymmetry transformations (4) read (with $`\varphi X^0`$)

$`\delta X^\alpha =\overline{\eta }\psi ^\alpha +ϵ\overline{\chi }^\alpha `$
$`\delta X^{\overline{\alpha }}=\eta \overline{\psi }^{\overline{\alpha }}\overline{ϵ}\chi ^{\overline{\alpha }}`$
$`\delta \varphi =i\overline{ϵ}\psi +iϵ\overline{\psi }+i\overline{\eta }\chi +i\eta \overline{\chi }`$
$`\delta \psi =ϵ,\delta \chi =\eta `$
$`\delta \psi ^\alpha =0,\delta \chi ^{\overline{\alpha }}=0.`$ (6)
For the sake of simplicity, in the following, we set $`\eta =0`$ in the above transformations and work with just one of the supersymmetries survived on $`M`$.

The components of $`\mathrm{\Pi }`$, on the other hand, are

$`\mathrm{\Pi }^\alpha =dX^\alpha \overline{\chi }D\psi ^\alpha \psi ^\alpha d\overline{\chi }\psi D\overline{\chi }^\alpha \overline{\chi }^\alpha d\psi +{\displaystyle \frac{1}{4}}C^{\alpha \beta \gamma }(\overline{\psi }_\beta D\chi _\gamma \chi _\beta D\overline{\psi }_\gamma )`$
$`\mathrm{\Pi }^{\overline{\alpha }}=dX^{\overline{\alpha }}+\chi D\overline{\psi }^{\overline{\alpha }}+\overline{\psi }^{\overline{\alpha }}d\chi +\overline{\psi }D\chi ^{\overline{\alpha }}+\chi ^{\overline{\alpha }}d\overline{\psi }{\displaystyle \frac{1}{4}}C^{\overline{\alpha }\overline{\beta }\overline{\gamma }}(\psi _{\overline{\beta }}D\overline{\chi }_{\overline{\gamma }}\overline{\chi }_{\overline{\beta }}D\psi _{\overline{\gamma }})`$
$`\mathrm{\Pi }^0=d\varphi i\overline{\psi }d\psi i\overline{\chi }d\chi {\displaystyle \frac{i}{2}}g_{\alpha \overline{\beta }}\overline{\psi }^{\overline{\beta }}D\psi ^\alpha {\displaystyle \frac{i}{2}}g_{\alpha \overline{\beta }}\overline{\chi }^\alpha D\chi ^{\overline{\beta }}`$
$`i\psi d\overline{\psi }i\chi d\overline{\chi }{\displaystyle \frac{i}{2}}g_{\alpha \overline{\beta }}\psi ^\beta D\overline{\psi }^{\overline{\alpha }}{\displaystyle \frac{i}{2}}g_{\alpha \overline{\beta }}\chi ^{\overline{\alpha }}D\overline{\chi }^\beta ,`$
where $`D\psi ^\alpha =d\psi ^\alpha +dX^\beta \mathrm{\Gamma }_{\beta \gamma }^\alpha \psi ^\gamma `$. Further define

$$M_{ij}=\delta _{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n.$$
(7)
Now as $`\mathrm{\Pi }`$’s are invariant under the SUSY transformations on flat spacetime, the action

$$S_{DBI}=Td^3\sigma \sqrt{\text{det}M_{ij}},$$
(8)
is also trivially invariant.

On a Calabi-Yau 3-fold, however, neither $`\mathrm{\Pi }`$ nor the metric is invariant under the SUSY transformations. Therefore $`M_{ij}=g_{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n`$ will not be invariant;

$$\delta (g_{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n)=\mathrm{\Delta }(g_{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n)=g_{mn}(\mathrm{\Delta }\mathrm{\Pi }_i^m)\mathrm{\Pi }_j^n+g_{mn}\mathrm{\Pi }_i^m\mathrm{\Delta }\mathrm{\Pi }_j^n,$$
(9)
where the covariant variation is defined by

$$\mathrm{\Delta }\mathrm{\Pi }^\alpha =\delta \mathrm{\Pi }^\alpha +\delta X^\rho \mathrm{\Gamma }_{\rho \sigma }^\alpha \psi ^\sigma ,$$

and the last equality in (9) follows as the metric $`g_{mn}`$ is covariantly constant.

To get a supersymmetric action on $`M\times 𝐑^1`$, firstly we note that on flat spacetimes the transformations (6) square to zero (BRST-like) when acting on any field except $`\varphi `$. Secondly if we define the operator $`\stackrel{~}{Q}`$ by

$$\stackrel{~}{Q}=Q+\overline{Q},\delta =iϵQ+i\overline{ϵ}\overline{Q},$$

we can see that $`M_{ij}`$ in the action can be written as a BRST-exact term;

$$M_{ij}=\delta _{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n=\{\stackrel{~}{Q},\frac{i}{2}(\psi +\overline{\psi })\delta _{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n\}.$$
(10)
This follows as $`\{\stackrel{~}{Q},\frac{i}{2}(\psi +\overline{\psi })\}=1`$. If we could maintain the BRST property of $`\stackrel{~}{Q}`$ on $`M`$, with a choice of $`M_{ij}`$ as in (10), it would be straightforward to construct the supersymmetric action on a Calabi-Yau 3-fold. All we need to do is to compute the term

$$\{\stackrel{~}{Q},\frac{i}{2}(\psi +\overline{\psi })g_{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n\}$$
(11)
to get $`M_{ij}`$ on $`M\times 𝐑^1`$. The invariance of the action under $`\stackrel{~}{Q}`$ then follows as $`\stackrel{~}{Q}^2=0`$;

$`\{\stackrel{~}{Q},S_{DBI}\}`$ $`=`$ $`{\displaystyle \frac{T}{2}}{\displaystyle d^3\sigma \sqrt{\text{det}M_{ij}}M^{ij}\{\stackrel{~}{Q},M_{ij}\}}`$ (12)
$`=`$ $`{\displaystyle \frac{T}{2}}{\displaystyle d^3\sigma \sqrt{\text{det}M_{ij}}M^{ij}\{\stackrel{~}{Q},\{\stackrel{~}{Q},\frac{i}{2}(\psi +\overline{\psi })g_{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n\}\}}=0.`$
In the following, we will see how this method works.

First of all, on $`M\times 𝐑^1`$ we need to covariantize the transformations (6). The only transformation which needs to change is that of $`\psi ^\alpha `$. So we write

$$\delta \psi ^\alpha =\delta X^\rho \mathrm{\Gamma }_{\rho \sigma }^\alpha \psi ^\sigma .$$

With this change, however, $`\delta `$ does not square to zero anymore when acting on $`\psi ^\alpha `$. To maintain this property of $`\delta `$, we add another term proportional to the Riemann tensor as follows

$$\delta \psi ^\alpha =ϵ\overline{\chi }^\rho \mathrm{\Gamma }_{\rho \sigma }^\alpha \psi ^\sigma iϵ\overline{\psi }\overline{\chi }^\beta \chi ^{\overline{\rho }}\psi ^\gamma R_{\beta \overline{\rho }\gamma }^\alpha ,$$

or

$$\mathrm{\Delta }\psi ^\alpha =iϵ\overline{\psi }\overline{\chi }^\beta \chi ^{\overline{\rho }}\psi ^\gamma R_{\beta \overline{\rho }\gamma }^\alpha .$$

Noting that on Kähler manifolds $`R_{\beta \rho \gamma }^\alpha =0`$ and $`R_{\beta \overline{\rho }\gamma }^\alpha =R_{\gamma \overline{\rho }\beta }^\alpha `$, it is easy to check that with this change $`\delta _{ϵ_1}\delta _{ϵ_2}\psi ^\alpha =0`$.

Taking $`M_{ij}`$ as in (11) we need to work out the variation of $`\mathrm{\Pi }`$’s. Since the holomorphic 3-form $`C^{\alpha \beta \gamma }`$ is covariantly constant, we obtain

$`\mathrm{\Delta }\mathrm{\Pi }_i^\alpha =\overline{\chi }\mathrm{\Delta }(D_i\psi ^\alpha )+_i\overline{\chi }\mathrm{\Delta }\psi ^\alpha \psi \mathrm{\Delta }(D_i\overline{\chi }^\alpha )+{\displaystyle \frac{1}{4}}C_{\overline{\beta }\overline{\gamma }}^\alpha \left(\mathrm{\Delta }\overline{\psi }^{\overline{\beta }}D_i\chi ^{\overline{\gamma }}+\overline{\psi }^{\overline{\beta }}\mathrm{\Delta }(D_i\chi ^{\overline{\gamma }})\chi ^{\overline{\beta }}\mathrm{\Delta }(D_i\overline{\psi }^{\overline{\gamma }})\right)`$
$`\mathrm{\Delta }\mathrm{\Pi }_i^0={\displaystyle \frac{i}{2}}g_{\alpha \overline{\beta }}(\mathrm{\Delta }\overline{\psi }^{\overline{\beta }}D_i\psi ^\alpha +\overline{\psi }^{\overline{\beta }}\mathrm{\Delta }(D_i\psi ^\alpha )+\overline{\chi }^\alpha \mathrm{\Delta }(D_i\chi ^{\overline{\beta }}))+\mathrm{h}.\mathrm{c}.,`$
where

$`\mathrm{\Delta }(D_i\psi ^\alpha )`$ $`=`$ $`(ϵ\overline{\chi }^\beta \psi ^\sigma X_i^{\overline{\rho }}+\overline{ϵ}\chi ^{\overline{\rho }}\psi ^\sigma X_i^\beta )R_{\beta \overline{\rho }\sigma }^\alpha iϵD_i(\overline{\psi }\overline{\chi }^\beta \chi ^{\overline{\rho }}\psi ^\gamma R_{\beta \overline{\rho }\gamma }^\alpha )`$
$`\mathrm{\Delta }(D_i\overline{\chi }^\alpha )`$ $`=`$ $`\overline{ϵ}X_i^\beta \chi ^{\overline{\rho }}\overline{\chi }^\gamma R_{\beta \overline{\rho }\gamma }^\alpha .`$ (13)
So finally we find the following supersymmetric action for membranes on $`M\times 𝐑^1`$

$$S_{DBI}=Td^3\sigma \sqrt{\text{det}M_{ij}},$$
(14)
with

$`M_{ij}`$ $`=`$ $`g_{mn}\mathrm{\Pi }_i^m\mathrm{\Pi }_j^n`$
$``$ $`{\displaystyle \frac{i}{2}}(\psi +\overline{\psi })g_{\alpha \overline{\beta }}\mathrm{\Pi }_{(j}^{\overline{\beta }}[(i\overline{\chi }\overline{\chi }^\beta \psi ^\sigma X_{i)}^{\overline{\rho }}+i\overline{\chi }\chi ^{\overline{\rho }}\psi ^\sigma X_{i)}^\beta `$
$`+`$ $`_{i)}\overline{\chi }\overline{\psi }\overline{\chi }^\beta \chi ^{\overline{\rho }}\psi ^\sigma +i\psi \chi ^{\overline{\rho }}\overline{\chi }^\sigma X_{i)}^\beta )R^\alpha _{\beta \overline{\rho }\sigma }\overline{\chi }D_{i)}(\overline{\psi }\overline{\chi }^\beta \chi ^{\overline{\rho }}\psi ^\gamma R_{\beta \overline{\rho }\gamma }^\alpha )`$
$`+`$ $`{\displaystyle \frac{1}{4}}C_{\overline{\beta }\overline{\gamma }}^\alpha ((\psi \chi ^{\overline{\sigma }}\overline{\chi }^\rho \overline{\psi }^{\overline{\eta }}D_{i)}\chi ^{\overline{\gamma }}+i\overline{\psi }^{\overline{\gamma }}\overline{\chi }^\rho \chi ^{\overline{\eta }}X_{i)}^{\overline{\sigma }}`$
$``$ $`i\chi ^{\overline{\gamma }}\chi ^{\overline{\sigma }}\overline{\psi }^{\overline{\eta }}X_{i)}^\rho i\chi ^{\overline{\gamma }}\overline{\chi }^\rho \overline{\psi }^{\overline{\eta }}X_{i)}^{\overline{\sigma }})R_{\overline{\sigma }\rho \overline{\eta }}^{\overline{\beta }}+\chi ^{\overline{\beta }}D_{i)}(\psi \chi ^{\overline{\sigma }}\overline{\chi }^\rho \overline{\psi }^{\overline{\eta }}R_{\overline{\sigma }\rho \overline{\eta }}^{\overline{\gamma }}))]`$
$`+`$ $`{\displaystyle \frac{i}{4}}(\psi +\overline{\psi })g_{\alpha \overline{\beta }}\mathrm{\Pi }_{(j}^0[i\psi \chi ^{\overline{\sigma }}\overline{\chi }^\rho \overline{\psi }^{\overline{\gamma }}D_{i)}\psi ^\alpha R_{\overline{\sigma }\rho \overline{\gamma }}^{\overline{\beta }}`$
$``$ $`\overline{\psi }^{\overline{\beta }}(\overline{\chi }^\sigma \psi ^\gamma X_{i)}^{\overline{\rho }}+\chi ^{\overline{\rho }}\psi ^\gamma X_{i)}^\sigma )R_{\sigma \overline{\rho }\gamma }^\alpha i\overline{\psi }^{\overline{\beta }}D_{i)}(\overline{\psi }\overline{\chi }^\beta \chi ^{\overline{\rho }}\psi ^\gamma R_{\beta \overline{\rho }\gamma }^\alpha )]+\mathrm{h}.\mathrm{c}..`$
As mentioned earlier, since $`\delta _{ϵ_2}\delta _{ϵ_1}`$ acting on any field111$`\delta ^2`$ acting on $`\varphi `$ does not give zero, but this does not cause any harm as this field appears in $`\mathrm{\Pi }^0`$ as $`d\varphi `$ and $`\delta ^2`$ acting on $`\mathrm{\Pi }^0`$ still gives zero. gives zero it follows that $`\stackrel{~}{Q}^2=0`$, which ensures the invariance of the action under $`\stackrel{~}{Q}`$.

Apart from the DBI action which was constructed above, supermembranes action on flat spacetime has another part, the Wess-Zumino term. One way to obtain the WZ term is to vary the DBI action with respect to the $`\kappa `$-symmetry transformations. One then looks for a supersymmetric (up to a total derivative) 3-form on the worldvolume such that its variation under the $`\kappa `$-transformations cancels the variation of DBI action. The whole action $`S=S_{DBI}+S_{WZ}`$ is then invariant under both the supersymmetry and $`\kappa `$-symmetry transformations. We hope to return to these issues in future works.


text:
# Theory of Ferromagnetic Superconductivity

## Abstract

It is argued that the pairing symmetry realized in a ferromagnetic superconductor UGe2 must be a non-unitary triplet pairing. This particular state is free from the Pauli limitation and can survive under a huge internal molecular filed. To check our identification we examine its basic properties and several experiments are proposed. In particular, the external field is used to raise $`T_c`$ by controlling the internal spontaneous dipole field.

Ferromagnetism (FM) and superconductivity (SC) are thought to be basically mutually repulsive. Since Ginzburg points out a possibility of its coexistence under the condition that the magnetization is less than the thermodynamic critical field, there are many experimental investigations performed, starting by Matthias et al who consider impurity ferromagnetism in a superconductor. Although the coexistence between antiferromagnetism and superconductivity are rather easy to realize and actually observed in several compounds because the antiferromagnetic moments spatially averaged over the SC coherent length vanish, the ferromagnetic case is difficult to realize. Rare exceptions of this case are rare-earth ternary compounds HoMo6S8 and ErRh4B4 where in a narrow temperature region just below the Curie temperature $`T_{FM}`$ the coexistence of FM and SC is attained. When the rare-earth 4f moments completely align at lower $`T`$, SC is wiped out by a strong internal field. So far there is no known SC which can fully sustain such a large molecular field.

As for the theoretical developments, Anderson and Suhl discuss the cryptoferromagnetism as a possible coexistence phase where the FM is modified to a long-period modulated spin structure. This modified RKKY interaction is mediated by superconducting pairs. Similarly to this idea, Blount and Varma also propose a magnetic spiral phase coexisting with SC to gain electromagnetic dipole interaction between localized moments.

The recent discovered material UGe2 seems to be difficult to understand in terms of these theories so far proposed and seems to require a novel concept to interpret the data: Because previous theories assume that two groups of electrons are distinguishable and clearly separated spatially. FM comes from the well localized 4f electrons while SC pairs are formed by conduction electrons. Here the situation is much more intricate; we cannot separate two groups in a well defined way from the outset, where 5f electrons from U-atoms play double roles both for FM and SC. It is a quite interesting problem how to describe its double roles played by 5f electrons microscopically, here we confine our discussions to a phenomenological level without going into pairing mechanism, which is closely related to it.

At ambient pressure UGe2 is an itinerant metallic ferromagnet whose Curie temperature $`T_{FM}`$=52K and the spontaneous moment $`1.4\mu _B`$ /U-atom. The easy axis is the $`a`$ axis in orthorhombic crystal. Upon increasing pressure $`P`$, both $`T_{FM}`$ and the spontaneous moment moderately decrease gradually and at $`P`$1GPa the SC starts to appear and the SC transition temperature $`T_c`$ increases, taking a maximum $`T_c0.8`$K above which FM already sets in at a high $`T`$ of $`T_{FM}30`$K whose moment $`1\mu _B`$/U-atom. Further increasing $`P`$, both $`T_{FM}`$ and $`T_c`$ drop down to disappear almost simultaneously around $`P`$1.7GPa. Thus the SC region is entirely covered by FM. The SC is confirmed to coexist with FM by neutron experiment. This phenomenon is difficult to understand in terms of the previous framework based in a conventional singlet pairing state. The internal ferromagnetic molecular field coming from the ordered magnetic system through the exchange interaction amounts to an order of few hundred tesla (T) in view of the exchange splitting $``$70meV for the up spin and down spin Fermi surfaces. According to Tsutsui et al the hyperfine field probed by U Mössbauer specroscopy is $``$240T. This huge exchange field apparently excludes not only any singlet pairing category, but also certain forms of triplet pairing category, namely, unitary triplet states. These are all limited by the Pauli paramagnetic field $`H_p`$1.3$`T_c`$(T). Anderson and Suhl, and Blount and Varma theories are not applicable here, and Fulde and Ferrell (FFLO) state only slightly enhances $`H_{c2}`$ by at most 10%, but definitely not possible for $`>`$100T.

In fact, only possible pairing symmetry under such a strong internal field is non-unitary triplet state, which is free from the Pauli limit . Thus, we investigate this possibility in light of the present material UGe2, examine the available data and predict some of the interesting phenomena associated with this non-unitarity.

A non-unitary triplet state is described by the order parameter $`\widehat{\mathrm{\Delta }}(𝐤)=i(𝐝(𝐤)\stackrel{}{\sigma })\sigma _y`$ in a 2$`\times `$2 matrix form. The three dimensional complex vector $`𝐝(𝐤)`$ fully characterizes the triplet pairing state. If $`𝐝(𝐤)`$ is a complex number, the product $`\widehat{\mathrm{\Delta }}(𝐤)\widehat{\mathrm{\Delta }}(𝐤)^{}=|𝐝(𝐤)|^2\sigma _0+i(𝐝(𝐤)\times 𝐝^{}(𝐤))\stackrel{}{\sigma }`$ is not a multiple of unit matrix and $`\widehat{\mathrm{\Delta }}(𝐤)`$ becomes non-unitary. Thus in a non-unitary state time reversal symmetry necessarily is broken spontaneously and spontaneous moment $`𝐦(𝐤)i𝐝(𝐤)\times 𝐝^{}(𝐤)`$ appears at each $`𝐤`$ point, yielding the macroscopic averaged moment $`<𝐦(𝐤)>`$ provided that the its Fermi surface average non-vanishes. There are two kinds of non-unitary state among several possible forms, depending on its orbital structure; one is bipolar type and non-bipolar one. In the former (latter) the real and imaginary parts of the complex $`𝐝(𝐤)`$ vector are ascribed by different (same) orbital function(s). The average spontaneous moment in the latter (former) is nonvanishing (vanishing) in general by symmetry. Since the additional Zeeman magnetic energy is gained in the non-bipolar, in the following we only consider the non-bipolar state.

We derive an appropriate Ginzburg-Landau (GL) free energy density functional allowed in the presence of the FM described in terms of the complex order parameter $`\stackrel{}{\eta }`$ of the coefficients of the $`d`$ vector. The macroscopic ferromagnetic order parameter $`𝐌`$ is proportional to the magnetization which is estimated as $``$0.2T in the ambient pressure. The complex order parameter $`\stackrel{}{\eta }`$ is coupled linearly and quadratically with $`𝐌`$, namely, $`i\gamma 𝐌\stackrel{}{\eta }\times \stackrel{}{\eta }^{}`$ and $`M^2\stackrel{}{\eta }\stackrel{}{\eta }^{}`$ respectively. Thus it is convenient to write $`\stackrel{}{\eta }=(\eta _x,\eta _y,0)`$ or $`\eta _\pm =\frac{1}{\sqrt{2}}(\eta _x\pm i\eta _y)`$ by choosing $`𝐌=(0,0,M)`$, implying that the Cooper pair spin orientation points to the $`𝐌`$ direction. We choose a coordinate system: $`xb,yc,za`$ where the magnetic easy axis is the $`a`$ axis. In view of the lattice constant $`a`$ and $`c`$ are almost same, only 2% difference, we regard the crystal structure as tetragonal where the $`(a,c)`$ forms the basal plane.

So far we have discussed the possible coupling terms with FM allowed by symmetry in order to explicitly see the effects of the FM formation. If we further consider the microscopic origin of SC, which appears under the Zeeman split Fermi surfaces (FS), leading to the distinct transition temperatures and the different fourth order terms for $`\eta _\pm `$ from the outset. Thus we finally arrive at the following generic GL form appropriate to UGe2:

$`f_{bulk}=\alpha _+|\eta _+|^2+\alpha _{}|\eta _{}|^2`$ (1)
$`+{\displaystyle \frac{1}{2}}\beta _+|\eta _+|^4+\beta |\eta _+|^2|\eta _{}|^2+{\displaystyle \frac{1}{2}}\beta _{}|\eta _{}|^4`$ (2)
where we introduce $`\alpha _\pm =\alpha _0^\pm (TT_c^\pm )`$ and $`\beta _\pm >0`$ for the stability condition of the system. In the following $`T_c^+`$ is identified to the observed $`T_c`$ below which $`\eta _+`$ becomes non-vanishing.

It is easy to derive the condition for the second SC transition to occur: $`\alpha _0^{}T_c^{}/\alpha _0^+T_c^+>\beta /\beta _+`$ at $`T_{c2}=(\beta _+\alpha _0^{}T_c^{}\beta \alpha _0^+T_c^+)/(\beta _+\alpha _0^{}\beta \alpha _0^+)`$ at which the remaining order parameter $`\eta _{}`$ starts to appear. Thus there is a chance to find the double transition near the critical pressure 1.7GPa where FM is suppressed and $`T_c^{}`$ will approach $`T_c^+`$. We note that this transition is analogous to the A1-A phase transition in superfluid 3He described by Ambegaokar and Mermin. Near the critical pressure where $`M`$ is small, we can estimate relative changes of the two transitions by expanding the density of states $`N(ϵ_F)`$ at $`ϵ_F`$, giving rise to $`T_{c1,2}=T_{c0}(1\pm M\frac{N^{}(ϵ_F)}{N(ϵ_F)}\mathrm{ln}\frac{\omega }{T_{c0}})`$. The derivative of the densities of states $`N^{}(ϵ_F)`$ and the energy cutoff $`\omega `$.

The quasi-particle excitation spectrum for a non-bipolar type $`𝐝(𝐤)=\stackrel{}{\eta }\varphi (𝐤)`$, where the spin $`\stackrel{}{\eta }`$ and the orbital $`\varphi (𝐤)`$ parts are separable, has two branches: $`E_\sigma (𝐤)=\sqrt{ϵ_\sigma ^2(𝐤)+\mathrm{\Delta }_\sigma ^2(𝐤)}`$ $`(\sigma =\pm )`$. The gap functions are given by $`\mathrm{\Delta }_\pm (𝐤)=|\eta _x\pm \eta _y|\varphi (𝐤)=|\eta _\pm |\varphi (𝐤)`$. Thus one of the branches, say, $`\mathrm{\Delta }_{}(𝐤)`$ vanishes identically. That means that on the spin down Fermi surface there is no superconducting gap formed, leaving it normal.

The nodal structure associated with non-unitarity leads to several observable predictions without specifying particular orbital function $`\varphi (𝐤)`$. The total density of states is given by $`N(E)=N_+(E)+N_{}(E)`$ where $`N_\sigma (E)=\mathrm{\Sigma }_𝐤\delta (EE_\sigma (𝐤))`$. At the SC transition temperature, only the spin up FS opens the gap, thus the jump of the specific heat is substantially reduced from the BCS value (1.43). In the lowest $`T`$ the specific heat becomes $`C(T)=\gamma _{}T`$ where $`\gamma _{}`$ is the densities of states at the FS for the spin down band. According to an estimate by the spin polarized band structure calculation  $`\gamma _{}`$ is substantial compared with the total $`\gamma `$ (=$`\gamma _+`$+$`\gamma _{}`$). Thus, it is quite observable. The existence of the $`\gamma _{}`$ term governs the lowest $`T`$ thermodynamics, such as a $`T`$-linear term in thermalconductivity and the $`IV`$ characteristics of quasi-particle tunneling between a normal metal and UGe2, and etc.

We notice that if the second transition $`T_{c2}`$ really takes place at lower $`T`$, there is no residual $`\gamma _{}`$ contribution to the thermodynamic quantities mentioned above since the remaining spin down FS is also gapped by $`\eta _{}`$.

As for the spin susceptibility $`\chi _i`$ ($`i=a,b`$ and $`c`$) probed by the Knight shift experiment, we naively expect that $`\chi _b`$ and $`\chi _c`$ ($`\chi _a`$) must decrease (unchanges) below $`T_c`$ because the $`𝐝(𝐤)`$ vector lies in the $`(b,c)`$ plane, but remain a finite value, corresponding to $`\gamma _{}`$. Note that $`\chi _b`$ and $`\chi _c`$ may not decrease appreciably below $`T_c`$ because these transverse susceptibilities in FM are known to be determined by the whole bands and insensitive to the gap formation near FS. The direction of the $`𝐝(𝐤)`$ vector is strongly locked to $`𝐌//a`$ where UGe2 is known to have strong easy axis type of the magnetic anisotropy and the magnetization is Ising-like.

Having analyzed the basic thermodynamic properties of non-unitary state for UGe2, we now proceed to examining electromagnetic properties when the external field is applied, regarding UGe2 a conventional type II superconductor. We note, however, that without $`H`$ vortices with each having unit quantum flux are spontaneously created because the internal field $``$0.2T far exceeds the usual $`H_{c1}`$. In this sense the system lacks the complete Meissner phase in $`H`$ vs $`T`$ plane. Let us introduce the free energy density $`f_{grad}`$ related to the magnetic field $`H`$

$`f_{grad}=K_1\mathrm{\Sigma }_{\sigma =\pm }\mathrm{\Sigma }_{j=y,z}|D_j\eta _\sigma |^2+K_2\mathrm{\Sigma }_{\sigma =\pm }|D_x\eta _\sigma |^2`$ (3)
where $`D_j=_ji\frac{2e}{\mathrm{}c}A_j`$ and the unit flux $`\varphi _0=\frac{\mathrm{}c}{2e}`$. We have assumed a simple orbital function $`\varphi (𝐤)`$ which does not break tetragonal symmetry in the basal plane $`(a,c)`$ or $`(y,z)`$ for simplicity. We reserve its extension to a future work when the orbital function turns out to be more complex. The essence of the following arguments is not altered. Near $`T_c`$ when $`H`$ is applied parallel to the $`z`$ axis (the $`a`$ axis) the above is written as

$`f_{grad}=K_1({\displaystyle \frac{d\eta _+}{dx}})^2+({\displaystyle \frac{2\pi }{\varphi _0}})^2K_2(M+\mu _0H)^2x^2\eta _+`$ (4)
because the magnetic induction $`𝐁=(0,0,\mu _0H+M)`$. The minimization of the free energy

$`{\displaystyle \frac{2\pi }{\varphi _0}}\sqrt{K_1K_2}|M+\mu _0H_{c2}^a|=\alpha _0(T_cT)`$ (5)
readily yields the upper critical field $`H_{c2}^a`$ as

$`\mu _0H_{c2}^a={\displaystyle \frac{\varphi _0}{2\pi }}{\displaystyle \frac{\alpha _0}{\sqrt{K_1K_2}}}(T_cT)`$ (6)
where the transition temperature is redefined as $`T_c\frac{2\pi }{\varphi _0}\frac{\sqrt{K_1K_2}}{\alpha _0}MT_c`$ and $`\alpha _0^+\alpha _0`$. When $`Hy(c)`$, by a similar way we obtain

$`f_{grad}=K_2({\displaystyle \frac{d\eta _+}{dx}})^2+({\displaystyle \frac{2\pi }{\varphi _0}})^2K_1\{M^2+(\mu _0H)^2\}x^2\eta _+`$ (7)
which yields

$`{\displaystyle \frac{2\pi }{\varphi _0}}\sqrt{K_1K_2}\sqrt{M^2+(\mu _0H_{c2}^b)^2}=\alpha _0(T_cT)`$ (8)
or, approximately near $`T_c`$

$`\mu _0H_{c2}^c\sqrt{2M}\sqrt{\mu _0H_{c2}^a}.`$ (9)
This means that near $`T_c`$, $`H_{c2}^c`$ exhibits a root singularity as a function of $`T`$ with the slope being infinite. This is also true for $`H//x(//b)`$, namely,

$`H_{c2}^b\sqrt{{\displaystyle \frac{K_2}{K_1}}}H_{c2}^c`$ (10)
where it shows not only a root singular behavior at $`T_c`$, but also is scaled with $`H_{c2}^c`$ by a constant factor. The large slope in $`H_{c2}^b`$ is observed in a certain pressure region of UGe2 by Huxley

In the basal $`(a,c)`$ plane the angular dependence of $`H_{c2}(\theta )`$ ($`\theta `$ is the angle from the $`a`$ axis) is calculated as

$`\{1({\displaystyle \frac{H_{c2}^a}{H_{c2}^c}})^2\}\mathrm{cos}\theta {\displaystyle \frac{H_{c2}(\theta )}{H_{c2}^a}}+({\displaystyle \frac{H_{c2}(\theta )}{H_{c2}^c}})^2=1.`$ (11)
by a simple arithmetics. Since the system is polar axis symmetric, namely the magnetization is of vectorial nature, $`M>0`$ differs from $`M<0`$. Thus when external field is reversed from $`M>0`$ to $`M<0`$ direction, $`H_{c2}^a`$ behaves differently. Namely provided that the magnetization stays its original orientation under the reversed field which is $`H300`$G, judging from the magnetization curve (Fig. 1 in Ref. ) $`H_{c2}^a`$ is given from eq. (4)

$`\mu _0H_{c2}^a={\displaystyle \frac{\varphi _0}{2\pi }}{\displaystyle \frac{\alpha _0}{\sqrt{K_1K_2}}}(TT_c)`$ (12)
for $`T>T_c`$. In this situation $`T_c`$ goes up by 30mK$``$40mK. Then on further increasing field as the magnetization is quickly reversed from its original direction and begins decreasing, the $`H_{c2}^a`$ curve changes into original $`H_{c2}^a`$ curve. Thus it is expected that the SC state is reentrant by increasing $`H`$ under a fixed $`T`$ just above $`T_c`$. This $`T_c`$ rise and the associated reentrant phenomenon is deeply rooted in the fact that the SC survives under the influence of the ferromagnetic state. Upon controlling FM by external field we can manipulate and raise $`T_c`$. Physically the $`T_c`$ rise occurs because the external field can cancel the spontaneously building internal field due to the ferromagnetic polarization which is to lower the hypothetical transition temperature and the magnetic induction $`𝐁`$ can become smaller than the internal field $`M`$.

The possible orbital forms in triplet pairing case allowed in tetragonal symmetry are given by Volovik and Gorkov for strong spin-orbit coupling case. Since SC appears in the presence of FM, the spin part of the order parameter is limited to the form: $`\widehat{𝐛}+i\widehat{𝐜}`$ ($`\widehat{𝐚}`$, $`\widehat{𝐛}`$ and $`\widehat{𝐜}`$ are unit vectors along the three crystal axes). In the strong spin orbit coupling case all the one-dimensional representations (A1u, A2u, B1u and B2u) are excluded, only the pairing function $`\widehat{k}_a(\widehat{𝐛}+i\widehat{𝐜})`$ remains as a candidate among the two-dimensional representation Eu in their classification. Since the spin orbit coupling is not the largest energy scale in the present ferromagnetic superconductor, the weak spin orbit coupling scheme shown next is more relevant classification scheme.

In the weak spin-orbit case, which was the case for UPt3 where another exotic superconducting pairing state (either non-unitary bipolar state similar to the present material or the triplet planar state) is realized there are several possible orbital functions allowed coupled to the spin function $`\widehat{𝐛}+i\widehat{𝐜}`$. Namely, $`k_ak_ck_b(k_a^2k_c^2)`$ (A1u), $`k_b`$ (A2u), $`k_ak_ck_b`$ (B1u) and $`k_b(k_a^2k_c^2)`$ (B2u) as the one-dimensional representations with $`k_i(i=a,b,c)`$ being the unit vector for reciprocal space. As for the two-dimensional representation Eu, the orbital functions of the forms are allowed: $`\lambda _1(k)`$, $`\lambda _1(k)+\lambda _2(k)`$ and $`\lambda _1(k)+i\lambda _2(k)`$ are listed where $`\lambda _1(k)=k_a`$ and $`\lambda _2(k)=k_c`$, or $`\lambda _1(k)=k_ak_b^2`$ and $`\lambda _2(k)=k_ck_b^2`$. The bipolar type pairing state $`\lambda _1(k)\widehat{𝐚}+i\lambda _2(k)\widehat{𝐜}`$ is excluded. If we take literally the orthorhombic crystal symmetry, the strong spin-orbit classification does not give rise to a suitable spin function of $`\widehat{𝐛}\pm i\widehat{𝐜}`$ among the four one-dimensional representations such as $`k_a\widehat{𝐚}`$, $`k_c\widehat{𝐜}`$ (A1u), and $`k_a\widehat{𝐜}`$, $`k_c\widehat{𝐚}`$ (B1u) and its linear combinations. On the other hand, in the weak spin-orbit coupling case where there is no two-dimensional representation all one-dimensional presentations have suitable orbital functions attached to the spin part $`\widehat{𝐛}+i\widehat{𝐜}`$, namely, $`k_ak_ck_b`$ (A1u), $`k_b`$ (B1u), $`k_c`$ (B2u) and $`k_a`$ (B3u). It is interesting to note that $`(\lambda _1(k)+i\lambda _2(k))(\widehat{𝐛}+i\widehat{𝐜})`$ has not only the spin angular moment but also the orbital angular moment, both pointing to the ferromagnetic moment direction. The allowed states have line node(s) in general except for $`(k_a+ik_c)(\widehat{𝐛}+i\widehat{𝐜})`$ in the two-dimensional representation if the up-spin Fermi surface opens along the $`b`$ axis as predicted by band structure calculation.

We can design several interesting experiments associated with the coexistence between FM and SC in the zero-field cooling where FM domains are formed, consisting of $`𝐌`$ and $`𝐌`$. Each domain has the own SC order parameters, either $`\widehat{𝐛}+i\widehat{𝐜}`$, or $`\widehat{𝐛}i\widehat{𝐜}`$ in order to fit its spin angular moment with the ferromagnetic moment direction. When one of the two domains, say, $`𝐌`$ with $`\widehat{𝐛}+i\widehat{𝐜}`$ percolates throughout a whole system, the macroscopic superconducting state establishes. In contrast, under the field cooling process whose field strength strong enough to make the whole system the single domain, say, $`𝐌`$, the SC takes place immediately right at $`T_c`$.

This reentrant phenomenon mentioned before provides direct evidence for the coexistence. The reentrance behavior is indeed observed at 1.35GPa at much higher field region ($``$ a few T) may be different origin from our prediction. However, it should be kept in mind that the superconducting properties in UGe2 show strong sensitivity of the measured current density. It might be related to the domain formation associated with FM. Toward the critical pressure $`P=1.7`$GPa the FM is greatly suppressed. There the two long-range orders FM and SC truly compete each other while around the optimal pressure $`P`$1.2GPa $`T_{FM}`$ is much higher than $`T_c`$. Thus the relationship between FM and SC is changing upon increasing $`P`$. As a consequence it could be possible to change the pairing symmetry from the non-unitary to unitary state. This is one of possible explanations of the observed reentrance phenomenon at $`P`$=1.35GPa.

We also remark that along the FM domain boundaries or the Bloch walls where the magnetization direction rotates so as to bridge the two oppositely polarized states $`\pm 𝐌`$, the spontaneously induced spin current flows because when transforming $`\widehat{𝐛}+i\widehat{𝐜}`$ state into $`\widehat{𝐛}i\widehat{𝐜}`$ the SC phase also continuously changes.

We are grateful for useful discussions and information with G. Lonzarich, A. Huxley and S. Saxena. We also acknowledge useful discussions with M. Ozaki and H. Yamagami.

permanent address


text:
# Effects of weak lensing on the topology of CMB maps

## 1 Introduction

The temperature anisotropy in the CMB is a powerful probe of the content and nature of our Universe. Most inflationary scenarios (Sato, 1981; Guth, 1981) predict that the temperature fluctuation field obeys Gaussian statistics (Guth & Pi, 1985), so all its statistical properties can be accurately predicted based on the Gaussian theory (Bardeen et al., 1986; Bond & Efstathiou, 1987). However, gravitational lensing by the matter inhomogeneities between the last scattering surface and us imprints non-Gaussian signatures on the CMB. These signatures directly probe the mass distribution up to very high redshift, and their measurement could greatly help to constrain cosmological parameters.

Various statistical methods have been used to investigate lensing of CMB maps. The effect on the power spectrum $`C_{\mathrm{}}`$ itself is rather small (Seljak, 1996). The probability density function (PDF) of peak ellipticities of the lensed temperature field is in principle sensitive to the lensing signatures on scales below $`10^{}`$, but the finite beam size of detectors tends to circularize the deformed ellipticities again (Bernardeau, 1998). Using the correlation between ellipticities of the lensed CMB map and distant galaxies proves more robust against the beam smearing effect (van Waerbeke et al., 2000). Takada et al. (2000) measure lensing signatures on scales around $`75^{}`$ with the two-point correlation function of hotspots.

In this Letter, we suggest to detect weak lensing signatures in CMB maps with the Minkowski functionals (Minkowski, 1903). To illustrate that the method is useful at all, we perform quantitative analyses on numerical experiments (Takada & Futamase, 2000). Section 2 describes the production of the CMB maps used in our work. In Section 3, we summarize some of the properties of the Minkowski functionals and apply them to the maps. Section 4 provides an outlook. The Appendix briefly derives the dependence of the Minkowski functionals of a lensed CMB map on the temperature threshold.

## 2 Numerical experiments

We consider two currently fashionable cosmologies, namely Cold Dark Matter variants with $`\mathrm{\Omega }_\mathrm{m}`$=1 and $`h`$=0.5 (SCDM) and $`\mathrm{\Omega }_\mathrm{m}`$=0.3, $`\mathrm{\Omega }_\lambda `$=0.7, and $`h`$=0.7 ($`\mathrm{\Lambda }`$CDM). $`\mathrm{\Omega }_\mathrm{m}`$ and $`\mathrm{\Omega }_\lambda `$ are the energy densities of matter and vacuum relative to the critical density, respectively, and $`h`$ is the Hubble constant in units of $`100\mathrm{k}\mathrm{m}\mathrm{s}^1\mathrm{Mpc}^1`$. The baryon density is chosen as $`\mathrm{\Omega }_\mathrm{b}h^2=0.019`$ from recent Big Bang Nucleosynthesis results (Burles & Tytler, 1998). We use a Harrison-Zel’dovich initial power spectrum and the transfer function of Bardeen et al. (1986) with the shape parameter form (Sugiyama, 1995). After that, we can only vary the normalization, or equivalently $`\sigma _8`$, the mass fluctuation in a sphere of radius 8$`h^1\mathrm{Mpc}`$.

For each model, we calculate the $`C_{\mathrm{}}`$ with CMBFAST (Seljak & Zaldarriaga, 1996) and compute 30 realizations of the CMB on an $`80\mathrm{°}\times 80\mathrm{°}`$ square divided into $`2^{}`$ pixels.

The lensing effect can be treated as a mapping of the primary CMB anisotropies. When we observe the CMB temperature $`\psi `$ in a certain direction $`𝜽`$ on the sky, we actually see the intrinsic field $`\phi `$ at a different position $`𝜽+𝝃`$ on the last scattering surface:

$$\psi (𝜽)=\phi (𝜽+𝝃(𝜽)).$$
(1)
To obtain the lensing displacement field $`𝝃`$, we first generate the convergence field $`\kappa `$. Its power spectrum $`P_\kappa (\mathrm{})`$ is the matter power spectrum $`P_\delta (k)`$ projected along the line of sight:

$$\begin{array}{c}P_\kappa (\mathrm{})=\frac{9}{4}H_0^4\mathrm{\Omega }_\mathrm{m}\hfill \\ \hfill \times _0^{\chi _{\text{rec}}}\mathrm{d}\chi a^2\left(\frac{r(\chi _{\text{rec}}\chi )}{r(\chi _{\text{rec}})}\right)^2P_\delta (k=\frac{\mathrm{}}{r(\chi )},\chi ).\end{array}$$
(2)
$`\chi `$ and $`r(\chi )`$ denote the comoving radial distance and the corresponding comoving angular diameter distance, and $`\chi _{\text{rec}}`$ is the radial distance to the last scattering surface. From $`\kappa `$ we compute the displacement field $`𝝃`$ in Fourier space through $`𝝃(𝐤)=2i𝐤k^2\kappa (𝐤)`$ and transform to real space. According to Equation (1), the displacement field only distorts the locations of the values in the primordial map. So we interpolate the original temperature values with a cloud-in-cell procedure to obtain the lensed temperature map on a regular grid. Finally, we mimic an observation through Planck (Mandolesi et al., 1995) by adding a Gaussian beam smearing and white noise. The beam FWHM and the noise level per FHWM pixel are chosen as $`5.5^{}`$ and $`4.3\times 10^6`$, respectively (Efstathiou & Bond, 1999).

As an example, Figure 1 shows a map with and without lensing.

## 3 Integral geometry for CMB maps

Minkowski functionals were formally introduced into cosmology by Mecke et al. (1994). Although the whole family of these geometric descriptors was already mentioned in (Coles, 1988), Schmalzing & Górski (1998) first applied them to CMB maps. Bernardeau (1997) suggested Minkowski functionals for detecting weak lensing signatures in the CMB. For a continuous field, we use the Minkowski functionals to describe the geometry of its excursion sets, that is the area above a given temperature threshold. In two dimensions, there are three Minkowski functionals which correspond to well-known geometrical quantities, namely the area $`v_0`$, the circumference $`v_1`$, and the Euler characteristic $`v_2`$.

The unlensed CMB maps obey Gaussian statistics. Therefore, their statistical properties can be completely characterized by the power spectrum $`C_{\mathrm{}}`$. Following Tomita (1990), we parametrize the Minkowski functionals of the isotemperature contour at the normalized threshold $`\nu `$ with $`\tau `$, the variance of the field’s first derivative111$`\mathrm{\Phi }(x)=(2/\sqrt{\pi })_0^xdt\mathrm{exp}(t^2)`$ is the Gaussian error function. We assume that the field is normalized to unit variance.

$$\begin{array}{cc}\hfill v_0^{\text{Gauss}}(\nu )& =\frac{1}{2}\frac{1}{2}\mathrm{\Phi }\left(\frac{\nu }{\sqrt{2}}\right),\hfill \\ \hfill v_1^{\text{Gauss}}(\nu )& =\frac{\sqrt{\tau }}{8}\mathrm{e}^{\nu ^2/2},\hfill \\ \hfill v_2^{\text{Gauss}}(\nu )& =\frac{\tau }{\sqrt{8\pi ^3}}\nu \mathrm{e}^{\nu ^2/2}.\hfill \end{array}$$
(3)
The Appendix shows that the shapes of the Minkowski functional curves of the lensed field remain the same as in the Gaussian case. So the non-Gaussianity manifests itself only in the normalization of the curves. Let us denote the constants of proportionality from Equations (A4) and (A6) with $`\alpha _1`$ and $`\alpha _2`$, respectively. Equation (3) yields

$$\alpha _1^{\text{Gauss}}=\frac{\sqrt{\tau }}{8},\alpha _2^{\text{Gauss}}=\frac{\tau }{\sqrt{8\pi ^3}}.$$
(4)
Therefore, for the Gaussian random field the quantity

$$\alpha =\left(\frac{8}{\pi }\right)^{3/2}\frac{\alpha _1^2}{\alpha _2}$$
(5)
equals unity. As we shall see, lensing leads to deviations from unity.

Even with high resolution and large sky coverage, these changes are easily overcome by the cosmic error. Therefore, accurate evaluation of the Minkowski functionals is crucial. We use three independent methods and take care that they produce compatible results. One of them uses contour integration to evaluate the circumference and the Morse theorem (Morse & Cairns, 1969) to determine the Euler characteristic (see e.g. Novikov et al. 1999). Two more elaborate methods (Schmalzing & Buchert, 1997) evaluate the Minkowski functionals via Crofton’s formula (Crofton, 1868), and by averaging over invariants formed from derivatives, respectively. Figure 2 shows the Minkowski functionals of one of the models.

For each realization, we determine the non-Gaussianity parameter $`\alpha `$ by fitting the measured Minkowski functionals to their expected Gaussian shapes. Since each of our realizations covers only 15% of the sky, while for the Planck satellite a sky coverage of 60% and more is expected, we reduce our estimated variances by a factor of two. It is also worth mentioning that we assume Gaussianity of the convergence field on scales of 5’ and above. This is not exactly true (Jain et al., 2000), so we expect an even stronger signal from a refined analysis with a convergence field calculated from $`N`$–body simulations.

Table 1 summarizes our results. As expected, neither of the unlensed models deviates significantly from Gaussianity. For the maps that include the weak lensing effect, the average $`\alpha `$ is different from one. In all but one case, this difference is significant, and in two out of the four investigated models with lensing, the significance level is above 95%.

## 4 Discussion and Outlook

We have measured the weak lensing effect of large-scale structure on the observed temperature anisotropies of the CMB with Minkowski functionals. Numerical simulations have shown that the effect can be significant when observed with the experimental specifications of Planck. It remains to be seen whether the Minkowski functionals can directly measure any characteristics of large-scale structure. Since they are sensitive to smoothing, we expect that varying the smoothing scale can reveal information on the convergence field on different scales. Most importantly, however, we have proven that this method can measure non-Gaussian signatures induced by weak lensing at all.

## Acknowledgements

JS and MT acknowledge support by the JSPS. This work was supported by Danmarks Grundforskningsfond through its support for TAC.

## Appendix A Analytical treatment

Consider a scalar random field $`\psi `$ in two dimensions, e.g. the observed CMB temperature anisotropy. It can be related to a scalar Gaussian random field $`\phi `$, the intrinsic temperature anisotropy, through the vector-valued random field $`𝝃`$, the displacement, by Equation (1).

It is well-known that the PDF of the temperature field, and hence the zeroth Minkowski functional $`v_0`$, which is just the integrated PDF, does not change at all under lensing. We write the other two Minkowski functionals as spatial averages over invariants formed from the field’s derivatives222Indices following a comma denote a spatial derivative.  (Schmalzing & Górski, 1998):

$$v_1(\nu )=\frac{\pi }{4}\delta (\psi \nu )\sqrt{\psi _{,1}^2+\psi _{,2}^2},v_2(\nu )=\frac{1}{2\pi }\delta (\psi \nu )\frac{2\psi _{,1}\psi _{,2}\psi _{,12}\psi _{,1}^2\psi _{,22}\psi _{,2}^2\psi _{,11}}{\psi _{,1}^2+\psi _{,2}^2}.$$
(A1)
In order to evaluate these two averages, we need to express the first- and second-order derivatives of $`\psi `$ in terms of the fields $`\phi `$ and $`𝝃`$. Straightforward differentiation yields333Summation over pairwise indices is implied throughout.

$$\psi _{,i}=\phi _{,i}+\phi _{,k}\xi _{k,i},\psi _{,ij}=\phi _{,ij}+\phi _{,ik}\xi _{k,j}+\phi _{,jk}\xi _{k,i}+\phi _{,kl}\xi _{k,i}\xi _{l,j}+\phi _{,k}\xi _{k,ij}.$$
(A2)
For the circumference $`v_1`$, Equation (A1) involves only the first derivatives of the observed field $`\psi `$ and therefore, by Equation (A2), only the first derivatives of the intrinsic field $`\phi `$. Since these are independent of the value $`\phi `$ itself (Adler, 1981), and $`𝝃`$ is of course independent of the field $`\phi `$, the average splits neatly into two factors:

$$v_1(\nu )=\frac{\pi }{4}\delta (\psi \nu )\sqrt{\psi _{,1}^2+\psi _{,2}^2}=\frac{\pi }{4}\frac{\mathrm{e}^{\nu ^2/2}}{\sqrt{2\pi }}\sqrt{\psi _{,1}^2+\psi _{,2}^2}.$$
(A3)
The remaining average is independent of $`\nu `$, so the curve has the Gaussian shape:

$$v_1(\nu )\mathrm{e}^{\nu ^2/2}.$$
(A4)
Turning to the Euler characteristic $`v_2`$, we observe that Equation (A1) expressed in terms of the fields $`\phi `$ and $`𝝃`$ depends linearly on the second derivatives $`\phi _{,ij}`$ and $`\xi _{k,ij}`$. Therefore, $`v_2`$ depends on the threshold $`\nu `$ only through

$$\delta (\phi \nu )\phi _{,ij}=\tau \nu \frac{\mathrm{e}^{\nu ^2/2}}{\sqrt{2\pi }}\delta _{ij}\text{and}\delta (\phi \nu )\xi _{k,ij}=0.$$
(A5)
The remainder of the average in Equation (A1) again produces factors that do not depend on the threshold $`\nu `$. So the curve $`v_2(\nu )`$ also has the shape expected for the Gaussian case:

$$v_2(\nu )\nu \mathrm{e}^{\nu ^2/2}.$$
(A6)


text:
# Looking Forward to Pricing Options from Binomial Trees

## I Introduction

Options are financial contracts which give the holder the right to buy (call options) or sell (put options) commodities or securities for a predetermined exercise (or strike) price by a certain expiration date . Conventional European (American) options can be exercised only on (at any time up to) the expiration date. Since the option confers on its holder a right with no obligation, it should carry a price at the time of contract. It is the classic work of Black, Scholes and Merton  which suggested a strategy for determining a fair price for the option in a risk-free environment.

Closed-form valuation within the Black-Scholes-Merton equilibrium pricing theory  is only possible for a small subset of financial derivatives. In the majority of cases one must appeal to numerical techniques such as Monte Carlo simulations, or finite difference methods and much of the effort in the field has been in developing efficient algorithms for numerically solving the Black-Scholes equation . An alternative direction has been the evaluation of discrete-time, discrete-state stochastic models of the market on binomial and trinomial trees . Not only is this discrete approach intuitive and easily accessible to a less mathematically sophisticated audience; but it also seems to us to be a more accurate description of market dynamics and better suited for evaluating more involved financial instruments. Moreover, the few exact Black-Scholes results available can be recovered in the appropriate continuous-time trading limit. The main difficulty in pricing with binomial trees has been the non-monotonic numerical convergence and the dramatic increase in computational effort with increasing number of time steps . For example, the state of the art calculations involve memory storage scaling linearly (quadratically) with the number of time steps, $`N`$, for European (American) options, while the computation time increases like $`N^2`$ in both cases .

In this paper we reconsider valuation on binomial trees from what we call a “forward looking” prospective: we imagine acting as well-educated consumers who attempt to eliminate risk and estimate the future expected value of an option according to some reasonable dynamical model. We will regard the movement of the price on the tree as a random walk (with statistical properties consistent with a risk-neutral world) with “walls” imposed by the nature of the option, such as the possibility of early exercise (American options) or the presence of barriers. The resulting mathematical formulation then has two conceptually distinct components: the first ingredient is an explicit description of the possible “walls”. For example, in the case of barrier American options both the barrier and the “early exercise” surface need to be specified. The second step will be to compute the probability that the price reaches particular values at every accessible point on the tree. This involves counting the number of paths reaching that point in the presence of “walls”, a somewhat involved but exactly solvable combinatorics problem. Once these two steps (specifying the walls and computing the probabilities) are accomplished the value of both European and American options, with and without barriers, can be written down explicitly. In an attempt to be pedagogical, we will limit ourselves to the simplest put options: European, simple American and European with a straight “up-and-out” barrier. Although the calculation can be simply extended to the barrier American option that discussion merits a separate publication.

As far as we know, in the case of trees explicit formulas like the ones we are proposing exist in the literature only in the simplest case of conventional European options . For the more complicated case of American options, the main issues are best summarized in the last chapter of Neil Chriss’ book : “The true difficulty in pricing American options is determining exactly what the early exercise boundary looks like. If we could know this a priori for any option (e.g., by some sort of formula), we could produce pricing formulas for American options.” Below we propose a solution to this problem in the context of binomial trees. Our formulation complements the earlier studies of American options in the limit of continuous-time trading  which also focus on the presence of an early exercise boundary for the valuation of path-dependent instruments. The study of the continuum limit of our formulas is instructive and will be left for a future publication.

## II Binomial Trees

To establish notation we begin by dividing the life of an option, $`T`$, into $`N`$ time intervals of equal length, $`\tau =T/N`$. We assume that at each discrete time $`t_i=i\tau `$ ($`i=0,1,2,\mathrm{},N`$) the stock price moves from its initial value, $`S_0=S(t_0=0)`$, to one of two new values: either up to $`S_0u`$ ($`u>1`$) or down to $`S_0d`$ ($`d<1`$. This process defines a tree with nodes labeled by a two dimensional vector, $`(i,j)`$ ($`i=0,1,2,\mathrm{},N;j=0,1,\mathrm{},i`$) and characterized by a stock price $`S(i,j)=S_0u^jd^{ij}`$, the price reached at time $`t_i=i\tau `$ after $`j`$ up and $`ij`$ down movements, starting from the original price $`S_0`$. The probability of an up (down) movement will be denoted by $`p_u`$ ($`p_d=1p_u`$); and thus each point on the tree is also characterized by the probability, $`p_u^j(1p_u)^{ij}`$, which represents the probability associated with a single path of $`i`$ time steps, $`j`$ ($`ij`$) of which involve an increase (decrease) in the stock price. Computing the probability of connecting the origin with point $`(i,j)`$ requires, in addition to the single path probability, a factor counting the number of such possible paths in the presence of a barrier and/or the possibility of early exercise. The calculation of this degeneracy factor involves the details of each financial derivative and it will be discussed in turn for each of our examples.

The binomial tree model introduces three free parameters, $`u,d`$ and $`p_u`$. Two of these are usually fixed by requiring that the important statistical properties of the random process defined above, such as the mean and variance, coincide with those of the continuum Black-Scholes-Merton theory . In particular,

$`p_uu+\left(1p_u\right)d`$ $`=`$ $`e^{r\tau }`$ (1)
$`e^{r\tau }\left(u+d\right)ude^{2r\tau }`$ $`=`$ $`\sigma ^2\tau ,`$ (2)
where $`r`$ is the risk-free interest rate, and the volatility, $`\sigma `$, is a measure of the variance of the stock price. We are left with one free parameter which can be chosen to simplify the theoretical analysis; one might choose, for example, $`u=1/d`$ , which simplifies the tree geometry by arranging that an up motion followed by a down motion leads to no change in the stock price. This condition together with (1) and (2) implies:

$`u`$ $`=`$ $`e^{\sigma \sqrt{\tau }}`$ (3)
$`d`$ $`=`$ $`e^{\sigma \sqrt{\tau }}`$ (4)
$`p_u`$ $`=`$ $`{\displaystyle \frac{e^{r\tau }d}{ud}}.`$ (5)
We stress that Equations (1-5) are to be regarded as short-time approximations where terms higher order in $`\tau `$ were ignored.

With these definitions out of the way we can begin discussing the valuation of put options with strike price $`X`$ and expiration time $`T`$.

### A European Put Options

The simple European put option is a good illustration of our “forward looking” approach. We are interested in all those paths on the tree which, at expiration time $`i=N`$, reach a price, $`S(N,j)=S_0u^jd^{Nj}<X`$, for which the option should be exercised. That implies that $`jj^{}=\text{Int}[\mathrm{ln}(X/S_0d^N)/\mathrm{ln}(u/d)]`$, where Int refers to the integer part of the quantity in square brackets. The mean value of the option at expiration can then be written as a sum over all values of $`jj^{}`$ of the payoff at $`j`$, $`XS_0u^jd^{Nj}`$, multiplied by the probability of realizing the price $`S(N,j)=S_0u^jd^{Nj}`$ after $`N`$ time steps, $`P[N,j]`$. As already mentioned above, $`P[N,j]=\mathrm{}_E[N,j]p_u^j(1p_u)^{Nj}`$, where $`\mathrm{}_E[N,j]`$ counts the number of paths starting at the origin and reaching the price $`S(N,j)`$ in $`N`$ time steps. For the case of conventional European options this is just the number of paths of $`N`$ time steps, with $`j`$ up and $`Nj`$ down movements of the price, and is thus given by the binomial coefficient,

$$\mathrm{}_E[N,j]=\left(\begin{array}{c}N\\ j\end{array}\right)=\frac{N!}{j!(Nj)!}.$$
(6)
The resulting expression for the mean value of the option at maturity is then discounted to the time of contract by the risk-free interest rate factor, $`e^{rT}`$, to determine the current expected value of the option:

$$\overline{V}_E=e^{rT}\underset{j=0}{\overset{j^{}}{}}\left(\begin{array}{c}N\\ j\end{array}\right)p_u^j(1p_u)^{Nj}\left(XS_0u^jd^{Nj}\right).$$
(7)
This expression is not new: it was first discussed by Cox and Rubinstein  who also showed that in the appropriate continuous trading-time limit ($`\tau 0`$) (7) reduces to the Black-Scholes result .

### B European Put Barrier Options

We are now ready to extend (7) into an exact formula for the mean value of an European put option with a barrier. Although our approach can be used for other barrier instruments, we consider the simplest case of an “up-and-out” put option which ceases to exist when some barrier price, $`H>S_0`$, higher than the current stock is reached. With the choice $`u=1/d`$ an explicit equation for the nodes of the tree which constitute the barrier can be written down:

$$S(j_B+1+2h,j_B+1+h)=S_0u^{j_B+1+h}d^h,h=0,1,\mathrm{},h_B$$
(8)
Here, $`j_B=\text{Int}\left[\mathrm{ln}\left(H/S_0\right)/\mathrm{ln}(u)\right]`$ defines the first point just above the barrier, $`(j_B+1,j_B+1)`$, and $`h_B`$ labels the last relevant point on the barrier corresponding to the time closest to the maturity of the option, i.e., $`h_B=\text{Int}\left[(Nj_B1)/2\right]`$.

Since the probability that any allowed path starting with the present stock price, $`S_0`$, reaches an exercise price at maturity, $`S(N,j)<X`$, is still $`p_u^j(1p_u)^{Nj}`$ (with $`jj^{}`$) the average value of the European barrier option can be written in a form similar to (7):

$$\overline{V}_{EB}=e^{rT}\underset{j=0}{\overset{j^{}}{}}\mathrm{}_{EB}[N,j]p_u^j(1p_u)^{Nj}\left(XS_0u^jd^{Nj}\right),$$
(9)
where $`\mathrm{}_{EB}[N,j]`$ is the number of paths $`N`$ time-steps long involving $`j`$ up and $`Nj`$ down movements of the price excluding those paths reaching any of the points on or above the barrier (8). As we will explain below, $`\mathrm{}_{EB}[N,j]`$ is given by

$$\mathrm{}_{EB}[N,j]=\left(\begin{array}{c}N\\ j\end{array}\right)\underset{h=0}{\overset{h_M}{}}\mathrm{}_{EB}^{res}[j_B+1+2h,j_B+1+h]\left(\begin{array}{c}Nj_B12h\\ jj_B1h\end{array}\right),$$
(10)
where the second term on the right-hand side represents the contribution from the unwanted paths which hit the barrier (8) before reaching an exercise point $`(N,j)`$.

To understand the form of the excluded contribution in (10) we first note that reaching the excluded region requires that the path hits the barrier at least once. One might think that the number of unwanted paths can then be calculated by (i) counting the number of paths connecting the origin to a given point on the barrier; (ii) multiplying this by the number of paths connecting that point on the barrier with the exercise point $`(N,j)`$  – this includes all paths which wander into the above-barrier region; and finally (iii) summing over all points of the barrier (8). However, a particular path reaching a given point on the barrier might have already hit any of the previous barrier points, and thus it would also be counted in the contribution in (ii) from all paths starting at the first barrier point reached by the particular path under consideration. Thus, summing indiscriminately over barrier points would lead to overcounting unless, in (i), we only include those paths which hit the barrier for the first time. In other words, (i) must only include paths starting from the origin which reach the particular point on the barrier without having previously visited any other barrier point. The number of such restricted paths (reaching the point $`(j_B+1+2h,j_B+1+h)`$) is what we denoted by $`\mathrm{}_{EB}^{res}[j_B+1+2h,j_B+1+h]`$ in (10). Also note that the final sum over the length of the barrier is restricted to $`hh_M=min(h_B,jj_B1)`$ with $`jj_B+1`$, corresponding to the fact that, in general, the exercise point $`(N,j)`$ cannot be reached from all points on the barrier. This completes our explanation of (10).

We are then left with computing $`\mathrm{}_{EB}^{res}`$. From its very definition it is not hard to see that $`\mathrm{}_{EB}^{res}[h]\mathrm{}_E^{res}[j_B+1+2h,j_B+1+h]`$ satisfies the following recursion relation:

$`\mathrm{}_{EB}^{res}[0]`$ $`=`$ $`1`$ (11)
$`\mathrm{}_{EB}^{res}[h]`$ $`=`$ $`\left(\begin{array}{c}j_B+1+2h\\ j_B+1+h\end{array}\right){\displaystyle \underset{l=0}{\overset{h1}{}}}\mathrm{}_{EB}^{res}[l]\left(\begin{array}{c}2(hl)\\ hl\end{array}\right),h1,`$ (16)
with the sum in (16) removing contributions from previously visited barrier points. Obviously $`\mathrm{}_{EB}^{res}[0]=1`$ as there is a single path involving $`j_B+1`$ up moves connecting the origin with the point $`(j_B+1,j_B+1)`$ on the tree.

To solve Equations (11) and (16) we first combine the sum on the right-hand side of (16) with the term on the left and rewrite the resulting equation in the form of a discrete convolution:

$$\underset{l=0}{\overset{h}{}}\mathrm{}_{EB}^{res}[l]\left(\begin{array}{c}2(hl)\\ hl\end{array}\right)=\left(\begin{array}{c}j_B+1+2h\\ j_B+1+h\end{array}\right),$$
(17)
where the boundary condition, $`\mathrm{}_{EB}[0]=1`$, is already included as the $`h=0`$ contribution to (17). Note that (17) can be solved by standard Laplace transform (or $`Z`$-transform) techniques . Since in applying these ideas to the more complicated American options we will lose the convolution form – the kernel will depend on $`h`$ and $`l`$ separately and not only through the difference, $`hl`$ – we will proceed in a more general way and stay in “configuration space” until the very end.

We prefer to regard (17) as a matrix equation of the form:

$$𝐋_{EB}𝚷_{EB}^{res}=𝐃_{EB}.$$
(18)
Here $`𝚷_{EB}`$ and $`𝐃_{EB}`$ are $`h_M+1`$ dimensional vectors, with components $`𝚷_{EB,h}=\mathrm{}_{EB}^{res}[h]`$ and $`𝐃_{EB,h}=\left(\begin{array}{c}j_B+1+2h\\ j_B+1+h\end{array}\right)`$, $`h=0,1,2,\mathrm{},h_M`$, and the $`(h_M+1)\times (h_M+1)`$ dimensional matrix, $`𝐋_{EB}`$, can be written as,

$$\left[𝐋_{EB}\right]_{h,l}=\left(\begin{array}{c}2(hl)\\ hl\end{array}\right)\theta \left(hl\right).$$
(19)
Note that in (19) we have explicitly added a $`\theta `$ function ($`\theta (x)=1`$ for $`x0`$ and vanishes otherwise) to stress that $`𝐋_{EB}`$ is a lower triangular matrix with unity along and zeros above the diagonal. This simple observation allows us to rewrite (18) in the convenient form,

$$𝐋_{EB}=\mathrm{𝟏}_{(h_M+1)\times (h_M+1)}+𝐐_{EB}.$$
(20)
where $`𝐐_{EB}`$ is a nilpotent matrix of order $`h_M`$, $`𝐐_{EB}^{}{}_{}{}^{y}=0`$ for $`yh_M+1`$; and $`\left[𝐐_{EB}\right]_{h.l}=\left(\begin{array}{c}2(hl)\\ hl\end{array}\right)\theta (hl1)`$. The nilpotent property of $`𝐐_{EB}`$ allows us to write down the explicit solution for (18),

$$𝚷_{EB}=\left[\mathrm{𝟏}+𝐐_{EB}\right]^1𝐃_{EB}=\underset{R=0}{\overset{h_M}{}}(1)^R𝐐_{EB}^R𝐃_{EB},$$
(21)
which in turn leads to the following formula for the value of the option,

$`\overline{V}_{EB}`$ $`=`$ $`\overline{V}_E\overline{V}_{EB}^{res}`$ (22)
$`\overline{V}_{EB}^{res}`$ $`=`$ $`e^{rT}{\displaystyle \underset{j=j_B+1}{\overset{j^{}}{}}}{\displaystyle \underset{h,l,R=0}{\overset{h_M(j)}{}}}(1)^R\left(\begin{array}{c}Nj_B12h\\ jj_B1h\end{array}\right)\left[𝐐_{EB}^R\right]_{h,l}\left(\begin{array}{c}j_B+1+2l\\ j_B+1+l\end{array}\right)`$ (27)
$`\times `$ $`p_u^j(1p_u)^{Nj}\left(XS_0u^jd^{Nj}\right).`$ (28)
The lower limit, $`j=j_B+1`$, on the external sum in (27) excludes all paths unaffected by the presence of the barrier; also we have explicitly indicated the $`N`$ and/or $`j`$ dependence of the various quantities involved; and have separated out the contribution to $`\mathrm{}_{EB}[N,j]`$ from unrestricted paths (the first term on the right-hand side of (10)) which simply leads to the value of the European put option given in (7).

We expect that, since we have an analytical formula, we should be able to recover the exact solution of the continuum Black-Scholes theory for this simplest of barrier options  as was already done for conventional European puts . Figure 1 shows the numerical convergence of the binomial value of a representative “up-and-out” European put option to its analytic value .

The same general idea used in the case of European barrier options will now be used to write down an exact formula for the price of a simple American option, regarding the latter as an option with an early-exercise barrier.

### C Conventional American Put Options

Using this view to valuate American options requires the knowledge of those points on the tree where it first becomes profitable to exercise the option. This set of points, parametrized as $`(i,j_x[i])`$, constitute the “early exercise barrier” (EXB). Determining the explicit form of the surface, $`j_x[i]`$, seems very difficult (if at all possible) as it already implies a knowledge of the mean value of the option at some finite number of points on the tree. In this section we show that there is a self-consistent exact formulation of the problem which proceeds in the following three steps: (i) we assume that the early exercise surface, $`j_x[i]`$, is given and compute an explicit formula for the value of the option at each point on the tree, $`f(i,j;j_x[i])`$, which depends parametrically on $`j_x[i]`$; (ii) the fact that early exercise at $`(i,j)`$ only occurs when $`XS_0u^jd^{ij}f(i,j;j_x[i])`$ gives us an explicit formula for the EXB which corresponds to the strict equality,

$$(XS_0u^{\stackrel{~}{j}[i;j_x[i]]}d^{i\stackrel{~}{j}[i;j_x[i]]})=f(i,j_x[i]);j_x[i]=\text{Int}\{\stackrel{~}{j}[i;j_x[i]\}.$$
(29)
\[Note that, on the right-hand side of (29) we have not used $`f(i,\stackrel{~}{j}[i])`$ which might appear at first sight as a more natural choice for defining the EXB. As will become clear below, (29) is the simplest and most natural choice which resolves the ambiguity of defining $`f(i,j)`$ away from points on the tree.\] Finally, (iii) substituting the solution (29) into the formally exact valuation expression gives us the value of the option. Although this strategy leads to an exact solution of the price of an American option, explicit numbers require rather heavy numerical computations except in the simplest example of a straight EXB.

Let us proceed in carrying out the program outlined above by assuming that the EXB, i.e., $`j_x[i]`$, is explicitly given. To begin our calculation we will need some very general properties of the barrier. These follow from two simple characteristics of early exercise: (i) if the point $`(i,j)`$ is an early exercise point, then so are all points “deeper in-the-money”, $`(i,j^{}),j^{}=0,1,\mathrm{},j1`$; and (ii) if two adjacent points at the same time step, $`(i+1,j+1)`$ and $`(i+1,j)`$, are both early exercise points so is the point $`(i,j)`$. (The latter property follows from a conventional “backwardation” argument  which indicates that the average expected payoff at $`(i,j)`$, discounted at the risk-free interest rate, is smaller than the actual payoff, thus making $`(i,j)`$ itself an early exercise point.) It is not hard to see that (i) and (ii) guarantee that the inner part of the early exercise region cannot be reached without crossing the EXB. Thus, if we define $`i_A`$ to be the first time for which early exercise becomes possible and parametrize the points on the EXB as $`(i=i_A+h,j_x[i_A+h])`$ with $`h=0,1,2,\mathrm{},Ni_A`$, it then follows that $`j_x[i_A]=0`$. Moreover, the structure of the tree ensures that $`j_x[i]`$ is a non decreasing function of $`i`$; more precisely, for each time step, $`j_x[i]`$ either increases by one or remains the same.

The formal expression for the price of an American option can be written down once one recognizes that once a path hits the EXB the option expires and thus any point on the barrier can be reached at most once. As a result, the value of the option is a sum of (appropriately discounted) payoffs along the barrier, weighted by the probability of reaching each point on the barrier without having visited the barrier at previous times. We can then write the expected value of an American option as:

$$\overline{V}_A=\underset{h=0}{\overset{Ni_A}{}}e^{r(i_A+h)\tau }\mathrm{}_A^{res}[h]p_u^{j_x[i_A+h]}(1p_u)^{i_A+hj_x[i_A+h]}\left(XS_0u^{j_x[i_A+h]}d^{i_A+hj_x[i_A+h]}\right),$$
(30)
where $`\mathrm{}_A^{res}`$ denotes the number of paths reaching the EXB in $`i_A+h`$ time steps without having previously visited any points on the barrier.

The counting problem can be solved along similar lines to those followed in the case of European options: $`\mathrm{}_A^{res}[h]`$ satisfies an equation analogous to (16), namely,

$`\mathrm{}_A^{res}[0]`$ $`=`$ $`1`$ (31)
$`\mathrm{}_A^{res}[h]`$ $`=`$ $`\left(\begin{array}{c}i_A+h\\ j_x[i_A+h]\end{array}\right){\displaystyle \underset{l=0}{\overset{h1}{}}}\mathrm{}_A^{res}[l]\left(\begin{array}{c}(hl)\\ j_x[i_A+h]j_x[i_A+l]\end{array}\right),h1,`$ (36)
where the first term on the right-hand side counts the total number of unrestricted paths from the origin to the point $`(i_A+h,j_x[i_A+h])`$ on the barrier, while the second term excludes those paths which, before reaching $`(i_A+h,j_x[i_A+h])`$ visited any of the previous barrier points, $`(i_A+l,j_x[i_A+l]),l=0,1,2,\mathrm{},h1`$ .

As in the case of the European barrier option (36) is rewritten as a matrix equation:

$$𝐋_A𝚷_A^{res}=𝐃_A.$$
(37)
Here $`𝚷_A`$ and $`𝐃_A`$ are $`Ni_A+1`$ dimensional vectors, with components $`𝚷_{A,h}=\mathrm{}_A^{res}[h]`$ and $`𝐃_{A,h}=\left(\begin{array}{c}i_A+h\\ j_x[i_A+h]\end{array}\right)`$, $`h=0,1,2,\mathrm{},Ni_A`$, and the $`(Ni_A+1)\times (Ni_A+1)`$ dimensional matrix, $`𝐋_A`$, takes the form,

$$\left[𝐋_A\right]_{h,l}=\left(\begin{array}{c}hl\\ j_x[i_A+h]j_x[i_A+l]\end{array}\right),lh=0,1,2,\mathrm{},Ni_A.$$
(38)
Note that, in contrast to (19) and (20), $`𝐋_A`$ depends on the indices $`h`$ and $`l`$ separately; also, we have used the identities $`j_x[i_A]=0`$ and $`\left(\begin{array}{c}i_A\\ j_x[i_A]\end{array}\right)=1`$, to incorporate the boundary condition, $`\mathrm{}_A^{res}[0]=1`$, in (37) in a symmetric way. As in (20), we can decompose $`𝐋_A`$ as,

$`\left[𝐋_A\right]_{h,l}`$ $`=`$ $`\delta _{h,l}+\left[𝐐_A\right]_{h,l}`$ (39)
$`\left[𝐐_A\right]_{h,l}`$ $`=`$ $`\left(\begin{array}{c}hl\\ j_x[i_A+h]j_x[i_A+l]\end{array}\right)\theta \left(hl1\right),`$ (42)
where $`𝐐_A`$ has nonzero elements starting just below the diagonal and it is thus a nilpotent matrix of degree $`Ni_A`$ (i.e., $`𝐐_A^{Ni_A+1}=0`$). Thus,

$$𝚷_A=\left[\mathrm{𝟏}+𝐐_A\right]^1𝐃_A=\underset{m=0}{\overset{Ni_A}{}}(1)^m𝐐_A^m𝐃_A,$$
(43)
leading in turn to the final formula for the value of the option,

$`\overline{V}_A=`$ $`{\displaystyle \underset{h,l,m=0}{\overset{Ni_A}{}}}`$ $`e^{r(i_A+h)\tau }(1)^m\left[𝐐_A^m\right]_{h,l}\left(\begin{array}{c}i_A+l\\ j_x[i_A+l]\end{array}\right)`$ (46)
$`\times `$ $`p_u^{j_x[i_A+h]}(1p_u)^{i_A+hj_x[i_A+h]}\left(XS_0u^{j_x[i_A+h]}d^{i_A+hj_x[i_A+h]}\right).`$ (47)
One last step is the determination of $`f(i,j)`$, the value of the American put at every point $`(i,j)`$ on the tree which, in turn, will allow us to derive the equation for the EXB. This is easily done by simply translating the origin in (46):

$`f(i,j)`$ $`=`$ $`{\displaystyle \underset{h,l,m=ii_A}{\overset{Ni_A}{}}}e^{r(i_A+hi)\tau }(1)^m\left[𝐐_A^m\right]_{h,l}\left(\begin{array}{c}i_A+li\\ j_x[i_A+l]j\end{array}\right)`$ (50)
$`\times `$ $`p_u^{j_x[i_A+h]j}(1p_u)^{i_A+hj_x[i_A+h]i+j}\left(XS_0u^{j_x[i_A+h]}d^{i_A+hj_x[i_A+h]}\right).`$ (51)
Together with (29) this then leads to the rather formidable-looking equation for the barrier height $`\stackrel{~}{j}[i_A+k]`$ at the $`(i_A+k)`$-th time step ($`k=0,1,\mathrm{},Ni_A`$), as a functional of the barrier position at all future time steps before expiration:

$`\left(XS_0u^{\stackrel{~}{j}[i_A+k]}d^{i_A+k\stackrel{~}{j}[i_A+k]}\right)`$ $`=`$ $`{\displaystyle \underset{h,l,m=k}{\overset{Ni_A}{}}}e^{r(hk)\tau }(1)^m\left[𝐐_A^m\right]_{h,l}\left(\begin{array}{c}lk\\ j_x[i_A+l]j_x[i_A+k]\end{array}\right)`$ (54)
$`\times `$ $`p_u^{j_x[i_A+h]j_x[i_A+k]}(1p_u)^{hkj_x[i_A+h]+j_x[i_A+k]}`$ (55)
$`\times `$ $`\left(XS_0u^{j_x[i_A+h]}d^{i_A+hj_x[i_A+h]}\right)`$ (56)
$`j_x[i_A+k]`$ $`=`$ $`\text{Int}\left\{\stackrel{~}{j}[i_A+k]\right\}.`$ (57)
\[It should now be clear that in (50) $`j`$ must be restricted to points on the tree as the binomial coefficient $`\left(\begin{array}{c}0\\ j_x[x_A+l]\stackrel{~}{j}[x_A+l]\end{array}\right)`$ would be ill-defined – hence the choice (29).\] Equations (54) and (57) for the boundary together with the formula for the value of the option, (46), constitute an exact pricing strategy for a conventional American put. A similar formula for an American put with an “up-and-out” barrier will be discussed in a future publication.

It is instructive to consider Equations (46), (54) and (57) in the explicitly solvable case of a straight barrier. We begin with the observation that, at expiration, $`k=Ni_A`$, (54) reduces to the equation for $`j^{}=\text{Int}[\mathrm{ln}(X/S_0d^N)/\mathrm{ln}(u/d)]`$, already defined in the case of the European option, and thus, the barrier goes through the point $`(N,j^{})`$. Moreover, starting from the exact point $`(N,j^{})`$ on the barrier and decreasing $`j_x[i]`$ by one with each backward time step we reach $`i_A=Nj^{}`$ along the straight line, $`j_x[i]=iN+j^{}`$. Recall that, since with each increasing time step, $`j_x[i]`$ either increases by one or remains the same, this straight line represents a lower bound for the early exercise barrier.

For this straight barrier (43) and (46) reduce to,

$`P_A^{straight}`$ $`=`$ $`e^{r(Nj^{})\tau }\left(1p_u\right)^{Nj^{}}\left(XS_0d^{Nj^{}}\right)`$ (58)
$`+`$ $`{\displaystyle \underset{h=1}{\overset{j^{}}{}}}e^{r(Nj^{}+h)\tau }\mathrm{}_A^{straight}[h]p_u^h\left(1p_u\right)^{Nj^{}}\left(XS_0u^hd^{Nj^{}}\right)`$ (59)
with

$$\mathrm{}_A^{straight}=\left(\begin{array}{c}Nj^{}+h\\ h\end{array}\right)\left(\begin{array}{c}Nj^{}+h1\\ h1\end{array}\right)$$
(60)
We expect that the result for the true barrier should approach the straight line formula for coarse enough time steps, $`\tau >Nj^{}i_A`$, (where this $`i_A`$ is the first time of early exercise in the limit of continuous-time trading).

## III Conclusion

We have presented a scheme for pricing options with and without barriers on binomial trees. To the best of our knowledge ours is the first explicit derivation of exact formulas treating barriers on binomial trees. It is our expectation that in the limit of continuous-time trading we should be able to recover the few exact results available in the literature, especially for American options. We also hope that our explicit formulas may provide a framework for improving the efficiency of numerical computations.

## IV Acknowledgements

The authors dedicate this paper to Professor Ferdinando Mancini, a remarkable teacher, colleague and friend, on the occasion of his 60th birthday. We are grateful to Stanko Barle for reading the manuscript and bringing the work of references  and  to our attention. Finally, we acknowledge the hospitality of the NYU Physics Department where most of this work was conceived.