Henderson, Vicky; Liang, Gechun - In: Finance and Stochastics 18 (2014) 3, pp. 593-615
<Para ID="Par1">This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a...</para>
