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This article studies the indifference prices
and hedging strategies in the presence of proportional transaction
costs in the incomplete markets. By introducing a new probabilistic
measure, the indifference price and the corresponding hedging
strategy can be got in one period model. A probabilistic iterative
algorithm is constructed for indifference prices of claims in a
multiperiod incomplete model. And the corresponding pricing measure
and the hedging strategy can be got. Pricing measure proves a
martingale measure if the transaction cost is zero.