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Integrating Mathematical and Symbolic Models Through AESOP: An Expert for Stock Options Pricing

Author

Listed:
  • James Clifford

    (Leonard N. Stern School of Business, New York University, New York, New York 10012)

  • Henry C. Lucas

    (Leonard N. Stern School of Business, New York University, New York, New York 10012-1126)

  • Rajan Srikanth

    (Walter A. Haas School of Business, University of California, Berkeley, Berkeley, California 94720)

Abstract

This paper reports on an effort to integrate symbolic and mathematical models to tailor the output of a mathematical model to the particular domain of a decision maker. AESOP combines the Black-Scholes model of stock options pricing with an expert system; the integrated model is designed for use by an options specialist on the American Stock Exchange. The specialist makes a number of adjustments to the output of the mathematical model; the purpose of the symbolic model is to make as many of these modifications as possible automatically. The paper reports on the development and structure of AESOP and presents data on its use.

Suggested Citation

  • James Clifford & Henry C. Lucas & Rajan Srikanth, 1992. "Integrating Mathematical and Symbolic Models Through AESOP: An Expert for Stock Options Pricing," Information Systems Research, INFORMS, vol. 3(4), pages 359-378, December.
    • Handle: RePEc:inm:orisre:v:3:y:1992:i:4:p:359-378
    DOI: 10.1287/isre.3.4.359
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    Cited by:

    1. Wong, Bo K. & Monaco, John A., 1995. "A bibliography of expert system applications for business (1984-1992)," European Journal of Operational Research, Elsevier, vol. 85(2), pages 416-432, September.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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