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Within this two-parametric Esscher class of measure changes, we focus on the martingale measure with minimal relative entropy, called `model preserving minimal entropy martingale measure' (MPMEMM). We link this measure to the utility-based indifference pricing. We precisely show that for bounded payoffs, the (exponential) utility indifference price goes to the option's price evaluated under the MPMEMM as the Arrow-Pratt measure of absolute risk aversion goes to zero. We also show that the class of Esscher martingale measures preserving the CGMY character is reduced to a single measure, described in full detail. 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