Time Value of Deep ITM Put vs Call
Meet Patel
According to my understanding of the discussion in page 259 of “Options as a Strategic Investment 4/E” by Lawrence McMillan, a deep in-the-money put has less time value than a deep in-the-money call of equal moneyness. I would like to prove or verify this statement using the Black–Scholes framework (assuming no dividends), or any rigorous method. Could someone provide guidance or hints on how to approach this proof, or clarify whether this statement is correct under standard assumptions?