  We consider a general local-stochastic volatility model and an investor with
exponential utility. For a European-style contingent claim, whose payoff may
depend on either a traded or non-traded asset, we derive an explicit
approximation for both the buyer's and seller's indifference price. For
European calls on a traded asset, we translate indifference prices into an
explicit approximation of the buyer's and seller's implied volatility surface.
For European claims on a non-traded asset, we establish rigorous error bounds
for the indifference price approximation. Finally, we implement our
indifference price and implied volatility approximations in two examples.
