For Thorp, then, to have put forward Black and Scholes's or Merton's central argument would have involved overriding what he knew of empirical reality. For Scholes, trained as he was in Chicago economics, and even for Black (despite his doubts as to the precise extent to which markets were efficient), it was reasonable to postulate that markets would not allow money-making opportunities such as a riskless portfolio that earned more than the riskless rate of interest.

Donald MacKenzie, An Engine, Not a Camera, loc. 1107