  This paper provides a methodology for fast and accurate pricing of the
long-dated contracts that arise as the building blocks of insurance and pension
fund agreements. It applies the recursive marginal quantization (RMQ) and joint
recursive marginal quantization (JRMQ) algorithms outside the framework of
traditional risk-neutral methods by pricing options under the real-world
probability measure, using the benchmark approach. The benchmark approach is
reviewed, and the real-world pricing theorem is presented and applied to
various long-dated claims to obtain less expensive prices than suggested by
traditional risk-neutral valuation. The growth-optimal portfolio (GOP), the
central object of the benchmark approach, is modelled using the time-dependent
constant elasticity of variance model (TCEV). Analytic European option prices
are derived and the RMQ algorithm is used to efficiently and accurately price
Bermudan options on the GOP. The TCEV model is then combined with a $3/2$
stochastic short-rate model and RMQ is used to price zero-coupon bonds and
zero-coupon bond options, highlighting the departure from risk-neutral pricing.
