try following code
var mymultiselect = $(document.createElement("select")).attr("multiple","multiple").addClass("multiselect");
mymultiselect.append('<option>"blah"</option');
mymultiselect.append('<option>"bloh"</option');
$('body').append(mymultiselect); // create ur select element
$(".multiselect").multiselect(); // then initialize ur plugin
Note: dont forget to link multiselect plugin to your code