9. Parity and Other Option Relationships
Errata:
In Part 5 I discovered a typo in the inequality sign in McDonald’s put convexity slide 56 and corrected that in the video, but didn’t notice a different typo in the call convexity slide 55. Here the subtractions in the numerators of both “slopes” for the call inequality are switched. So on the left hand side, the numerator is written C(K1)-C(K2) when it should have been C(K2)-C(K1), with the same problem on the right hand side. As both ratios are slope formulas, the conclusion for puts and calls is that the slope increases as you move from left to right.