  We study the dynamic indifference pricing with ambiguity preferences. For
this, we introduce the dynamic expected utility with ambiguity via the
nonlinear expectation--G-expectation, introduced by Peng (2007). We also study
the risk aversion and certainty equivalent for the agents with ambiguity. We
obtain the dynamic consistency of indifference pricing with ambiguity
preferences. Finally, we obtain comparative statics.
