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We consider the Bachelier model with linear price impact. Exponential utilityindifference prices are studied for vanilla European options in the case wherethe investor is required to liquidate her position. Our main result isestablishing a non-trivial scaling limit for a vanishing price impact which isinversely proportional to the risk aversion. We compute the limit of thecorresponding utility indifference prices and find explicitly a family ofportfolios which are asymptotically optimal.

Optimal Liquidation with High Risk Aversion and Small Linear Price Impact