Exponential utility indifference valuation in a generalsemimartingale model

We study the exponential utility indifference valuation of a contingentclaim H when asset prices are given by a general semimartingale S. Under mildassumptions on H and S, we prove that a no-arbitrage type condition is fulfilled ifand only if H has a certain representation. In this case, the indifference value can bewritten in terms of processes from that representation, which is useful in two ways.Firstly, it yields an interpolation expression for the indifference value which generalizesthe explicit formulas known for Brownian models.[...]