<t>I am trying to price a CDS options using the Hull & White model. When I try to replicate the results of the authors, the default probabilities q1-q5 that I get are not matching with the ones in the paper (Table 2, stepwise default prob function in the paper titled "The valuation of CDS option...

<t>I am trying to replicate the Numerical example for computing default probabilities (Section III, page 14 of the paper below) from the Hull and White paper "The Valuation of Credit Default Swap Options". The results that I get for default probabilities q1-q5 don't match with the author's numbers. ...