  We consider the Bachelier model with information delay where investment
decisions can be based only on observations from $H>0$ time units before.
Utility indifference prices are studied for vanilla options and we compute
their non-trivial scaling limit for vanishing delay when risk aversion is
scaled liked $A/H$ for some constant $A$. Using techniques from [7], we develop
discrete-time duality for this setting and show how the relaxed form of
martingale property introduced by [9] results in the scaling limit taking the
form of a volatility control problem with quadratic penalty.
