Before revision: This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model and provides two approximations for the utility indifference price : a linear approximation by Picard iteration and a semigroup approximation by splitting techniques .
After revision: This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model subject to inter-temporal default risk, and provides a semigroup approximation for the utility indifference price : a linear approximation by Picard iteration and a semigroup approximation by splitting techniques .