Approximations to utility indifference prices are provided for a contingentclaim in the large position size limit. Results are valid for general utilityfunctions on the real line and semi-martingale models. It is shown that as theposition size approaches infinity, the utility function's decay rate for largenegative wealths is the primary driver of prices. For utilities withexponential decay, one may price like an exponential investor. For utilitieswith a power decay, one may price like a power investor after a suitableadjustment to the rate at which the position size becomes large. In a sizableclass of diffusion models, limiting indifference prices are explicitly computedfor an exponential investor. Furthermore, the large claim limit is seen toendogenously arise as the hedging error for the claim vanishes.
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