Thorp's expression for the value of a warrant or call option was formally equivalent to that of Fischer Black and Myron Scholes (equation 2 in appendix D), except for one feature: unlike Black and Scholes, Thorp did not discount the expected value of the option at expiration back to the present. (In other words, his value for the option price did not take into account the fact that the seller of an option could earn interest on the proceeds of its sale.)

Donald MacKenzie, An Engine, Not a Camera, loc. 558