  We consider expected utility maximisation problem for exponential Levy models
and HARA utilities in presence of illiquid asset in portfolio. This illiquid
asset is modelled by an option of European type on another risky asset which is
correlated with the first one. Under some hypothesis on Levy processes, we give
the expressions of information processes figured in maximum utility formula. As
applications, we consider Black-Scholes models with correlated Brownian
Motions, and also Black-Scholes models with jump part represented by Poisson
process.
