Samuelson’s warrant model, like Sprenkle’s, relied on unestimable parameters.

Evidence

The most sophisticated theoretical analysis of warrants in the early and mid 1960s was by Paul Samuelson, the MIT economist discussed in previous chapters. Samuelson developed a collaboration with the MIT mathematician Henry P. McKean Jr, a world-class specialist in stochastic calculus (the theory of stochastic processes in continuous time), which in the years after Bachelier’s work had become an important area of probability theory. Samuelson’s model also depended, like Sprenkle’s, on parameters that seemed to have no straightforward empirical referents the expected rate of return on the underlying stock, and the expected rate of return on the warrant and Samuelson offered no way of directly estimating these parameters (Samuelson 1965a; McKean 1965). — Donald MacKenzie, An Engine, Not a Camera, 539

Categorization

• XREF: Connects forward to Black-Scholes, which solved exactly this unobservable-parameter problem—the core of the performativity thesis.
• QUESTION: Would be worth tracing exactly how Black and Scholes eliminated the expected-return parameter that Samuelson and Boness here found unestimable.