"The analogy with insurance breaks down," they warned, if stock prices "gapped" downward, plunging discontinuously: there would not be "sufficient time to adjust the replicating portfolio" (Rubinstein and Leland 1981, p. 72). Such discontinuities were excluded, mathematically, from the Black-Scholes log-normal random walk, but could not be ruled out in practice.

Donald MacKenzie, An Engine, Not a Camera, loc. 805