  We consider the problem of exponential utility indifference valuation under
the simplified framework where traded and nontraded assets are uncorrelated but
where the claim to be priced possibly depends on both. Traded asset prices
follow a multivariate Black and Scholes model, while nontraded asset prices
evolve as generalized Ornstein-Uhlenbeck processes. We provide a BSDE
characterization of the utility indifference price (UIP) for a large class of
non-smooth, possibly unbounded, payoffs depending simultaneously on both
classes of assets. Focusing then on European claims and using the Gaussian
structure of the model allows us to employ some BSDE techniques (in particular,
a Malliavin-type representation theorem due to Ma (2002)) to prove the
regularity of Z and to characterize the UIP for possibly discontinuous European
payoffs as a viscosity solution of a suitable PDE with continuous space
derivatives. The optimal hedging strategy is also identified essentially as the
delta hedging strategy corresponding to the UIP. Since there are no closed-form
formulas in general, we also obtain asymptotic expansions for prices and
hedging strategies when the risk aversion parameter is small. Finally, our
results are applied to pricing and hedging power derivatives in various
structural models for energy markets.
