  We consider indifference pricing of contingent claims consisting of payment
flows in a discrete time model with proportional transaction costs and under
exponential disutility. This setting covers utility maximisation as a special
case. A dual representation is obtained for the associated disutility
minimisation problem, together with a dynamic procedure for solving it. This
leads to efficient and convergent numerical procedures for indifference
pricing, optimal trading strategies and shadow prices that apply to a wide
range of payoffs, a large range of time steps and all magnitudes of transaction
costs.
