Exponential utility optimization, indifference pricing and hedging for a payment process

@article{Delong2012ExponentialUO,
  title={Exponential utility optimization, indifference pricing and hedging for a payment process},
  author={Łukasz Delong},
  journal={Applicationes Mathematicae},
  year={2012},
  volume={39},
  pages={211-229}
}
In this paper 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… 
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