Thus far, the argument used to determine the option price is simply the binomial analogue of Black-Scholes-Merton option pricing. Risk-neutral valuation as put forward by Cox and Ross involves assuming (a) that all investors are risk neutral, and so the value to them of risky investments is the present value of the expected payoff of these investments; and (b) that "the expected returns on both stock and option must equal the riskless rate" of interest (Cox and Ross 1976, p. 153). Cox and Ross's claim was that the price of an option as worked out under these assumptions must be its arbitrage-determined price in our original world (in which we assumed nothing about expected returns or attitudes to risk).

Donald MacKenzie, An Engine, Not a Camera, loc. 1283