Escaping the Brownian stalkers.
Exponential functionals of Brownian motion. II: Some related diffusion processes.
Exponential utility optimization, indifference pricing and hedging for a payment process
We deal with pricing and hedging for a payment process. We investigate a Black-Scholes financial market with stochastic coefficients and a stream of liabilities with claims occurring at random times, continuously over the duration of the contract and at the terminal time. The random times of the claims are generated by a random measure with a stochastic intensity of jumps. The claims are written on the asset traded in the financial market and on the non-tradeable source of risk driven by the random...