Financial Toolkit : Variance Swap - Par Variance

Input
Asset spot price \(S_{0} \) Interest rate in % Time to maturity in yrs
No of calls
  0 1 2 3 4 5 6 7 8
Strike
Volatility in %

No of puts
  0 1 2 3 4 5 6 7 8 9 10 11
Strike
Volatility in %

The first call strike and put strike must be the equal. This common value is \(S_{*} \).