Question: Value the variance swap in Example 26.4 of Section 26.16 assuming that the implied volatilities for options with strike prices 800, 850, 900, 950, 1,000,

Value the variance swap in Example 26.4 of Section 26.16 assuming that the implied volatilities for options with strike prices 800, 850, 900, 950, 1,000, 1,050, 1,100, 1,150, 1,200 are 20%, 20.5%, 21%, 21.5%, 22%, 22.5%, 23%, 23.5%, 24%, respectively.

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