Like Black, Scholes was "amazed that the expected rate of return on the underlying stock did not appear" in the equation (Scholes 1998, p. 481). This prompted Black and Scholes to experiment, as Thorp had done, with setting the expected return on the stock as the riskless rate of interest. They substituted this rate for the expected rate of appreciation of the stock price in Sprenkle's formula for the expected value of the payoff of a warrant at expiration (equation 1 in appendix Q. To get the option or warrant price, they then had to discount that expected payoff, in other words to work out its present value.

Donald MacKenzie, An Engine, Not a Camera, loc. 582