Before revision:  Appl. Probab., 15, 1691--1712] from bounded to unbounded case. As an application , we study utility indifference valuation of financial derivatives with unbounded payoffs, obtaining a new convex dual representation of the prices and their asymptotics for the risk aversion parameter  .
After revision:  Appl. Probab., 15, 1691--1712] from the bounded to an unbounded framework. Furthermore , we study utility indifference valuation of financial derivatives with unbounded payoffs, obtaining a new convex dual representation of the prices and their asymptotics for the risk aversion parameter .