We develop a novel method to decompose a straddle into a volatility risk portfolio and a jump risk portfolio. The …. We use the straddle decomposition to analyze the volatility risk premium and the jump risk premium embedded in a straddle … volatility risk portfolio persistently generates positive returns during earnings announcement periods …

its contract to maximize its payment. Studies of ASRs typically assume a constant volatility, but the longer time horizon … of ASRs, on the order of months, indicates that the variation of the volatility should be considered. We analyze the … price and volatility, which is described by a free-boundary problem which we derive here. To solve this system numerically …