This paper proposes a cooperative lane changing strategy using a transferable utility games framework. This allows vehicles to engage in transactions where gaps in traffic are created in exchange for monetary compensation. The proposed approach is best suited to discretionary lane change maneuvers. We formulate gains in travel time, referred to as time differences, that result from achieving higher speeds. These time differences, coupled with value of time, are used to formulate a utility function, where utility is transferable. We also allow for games between connected vehicles that do not involve transfer of utility. We apply Nash bargaining theory to solve the latter. A cellular automaton is developed and utilized to perform simulation experiments that explore the impact of such transactions on traffic conditions (travel-time savings, resulting speed-density relations and shock wave formation) and the benefit to vehicles. The results show that lane changing with transferable utility between drivers can help achieve win-win results, improve both individual and social benefits without resulting in any adverse effects on traffic characteristics in general and, in fact, result in slight improvement at traffic densities outside of free-flow and (bumper-to-bumper) jammed traffic.