Abstract (EN)

We study the utility indifference price of a European option in the context of smalltransaction costs. Considering the general setup allowingconsumption and a general utilityfunction at final timeT, we obtain an asymptotic expansion of the utility indifference priceas a function of the asymptotic expansions of the utility maximization problems with andwithout the European contingent claim. We use the tools developed in [51] and [45] basedon homogenization and viscosity solutions to characterizethese expansions. Finally weprovide two examples, in particular recovering under weaker assumptions the results of [6].