Abstract： Stocks and corporate bonds with credit risks were chosen as investment objectives of constant
proportation portfolio insurance (CPPI) strategy. Under the condition of continuous time and jump market,
the explicit expression of CPPI was given. The hedging relationship between CPPI and contingent claims
was proven through the martingale approach, and a simulation was conducted through an investment case.
郭文旌, 李思捷. 跳跃过程下含违约资产的CPPI定价及其对冲分析[J]. 《兰州大学学报（自科版）》, 2017, 53(4): 545-551.
Guo Wen-jing, Li Si-jie. Pricing and hedging of the defaultable CPPI with jump processes. JOURNAL OF LANZHOU UNIVERSITY(NATURAL SCIENCES), 2017, 53(4): 545-551.