Before revision:  We show that when the interest rate process is correlated with the price process of the risky asset, the value of the information is  infinite, as is usually the case for initial-enlargement-type problems.
After revision:  We show that when the interest rate process is correlated with the price process of the risky asset, the value of the information is proved to be infinite, as is usually the case for initial-enlargement-type problems.