摘要 : We consider indifference pricing of contingent claims consisting of payment flows in a discrete-time model with proportional transaction costs and under exponential disutility. This setting covers utility maximization of terminal ... 展开 We consider indifference pricing of contingent claims consisting of payment flows in a discrete-time model with proportional transaction costs and under exponential disutility. This setting covers utility maximization of terminal wealth as a special case. A dual representation is obtained for the associated disutility minimization problem, together with a dynamic procedure for solving it. This leads to efficient and convergent numerical procedures for indifference pricing, optimal trading strategies and shadow prices that apply to a wide range of payoffs, a large range of time steps and all magnitudes of transaction costs. 收起