Before revision: In this paper we focus on pricing of structured products in energy markets using utility indifference pricing approach . In particular, we compute the buyer 's price of such derivatives for an agent investing in the forward market , whose preferences are described by an exponential utility function.
After revision: In this paper we focus on pricing of structured products in energy markets using utility indifference pricing approach in a general incomplete multivariate market model driven by finitely many stochastic factors. The buyer of such contracts is allowed to trade in the forward market , whose preferences are described by an exponential utility function.