Key points are not available for this paper at this time.
Fischer Black, Myron Scholes, The Valuation of Option Contracts and a Test of Market Efficiency, The Journal of Finance, Vol. 27, No. 2, Papers and Proceedings of the Thirtieth Annual Meeting of the American Finance Association, New Orleans, Louisiana, December 27-29, 1971 (May, 1972), pp. 399-417
Black et al. (Mon,) studied this question.