Abstract: 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.