Benchmark-neutral pricing
提出基准中性定价与对冲方法，用于长期或有权益定价，发现风险中性定价可能过高，并用长期零息债券的对冲示例说明其准确性。
The paper proposes benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numéraire and the new benchmark-neutral pricing measure for pricing. For the assumed ‘natural’ dynamics of a well-diversified stock portfolio, which are those of the continuous limit of a branching process of diversified wealth in some activity time, this pricing measure turns out to be an equivalent probability measure. This is not the case for the putative risk-neutral pricing measure. Benchmark-neutral pricing identifies the minimal possible prices of contingent claims. Risk-neutral prices of long-term contracts can be significantly more expensive than necessary. The extremely accurate hedge of a long-term zero-coupon bond illustrates the proposed pricing and hedging method.