INTEGRATING MATHEMATICAL AND SYMBOLIC MODELS THROUGH AESOP: AN EXPERT FOR STOCK OPTIONS PRICING

Abstract

This paper reports on an effort to integrate symbolic and mathematical models to tailor the optimal output of an operations research 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.