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

James Clifford, Henry C. Lucas and Rajan Srikanth
Additional contact information
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

Information Systems Research, 1992, vol. 3, issue 4, 359-378

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.

Keywords: expert systems; systems design; symbolic models; mathematical models; Black-Scholes model (search for similar items in EconPapers)
Date: 1992
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:inm:orisre:v:3:y:1992:i:4:p:359-378

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