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We consider a general local-stochastic volatility model and an investor withexponential utility. For a European-style contingent claim, whose payoff maydepend on either a traded or non-traded asset, we derive an explicitapproximation for both the buyer's and seller's indifference price. ForEuropean calls on a traded asset, we translate indifference prices into anexplicit approximation of the buyer's and seller's implied volatility surface.For European claims on a non-traded asset, we establish rigorous error boundsfor the indifference price approximation. Finally, we implement ourindifference price and implied volatility approximations in two examples.

Indifference prices and implied volatilities