In a letter, Merton (1972b) told Fischer Black: "I ... do not understand your reluctance to accept that the standard form of CAPM just does not work." "What I sort of argued with them [Black and Scholes]," says Merton, "was, if it depended on the [capital] asset pricing model, why is it when you look at the final formula [equation 1 in appendix D] nothing about risk appears at all? In fact, it's perfectly consistent with a risk-neutral world."

Donald MacKenzie, An Engine, Not a Camera, loc. 598