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CDS Options
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. Has anyone tried to price CDS options using the Hull and White model?
CDS Options
yeah I've had trouble too...I've been working on this stuff for a Msc in Finance project I'm doing. Are you in London by any chance? maybe we can figure it out together? I've got a model up and running, but it's not 100% perfect.