Emanuel Derman, who worked closely with Black at the investment bank Goldman Sachs, recalls Black becoming "quite excited" when a simulation with which Derman was experimenting seemed to show that Merton's continuously adjusted hedge did not yield precisely the Black-Scholes price of an option. According to Derman, Black "said something like, `You know, I always thought there was something wrong with the replication method."' It turned out that the discrepancy arose because of error in the simulation, but, says Derman, "in his heart ... Fischer [Black] mistrusted the Merton derivation and preferred his original proof" (Derman 2004, pp. 170-171).

Donald MacKenzie, An Engine, Not a Camera, loc. 603