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I know how barrier options are priced in Black-Scholes scheme.

I'm wondering if an analytical formula exists also for range (corridor) digital options i.e. options paying only if the price remains between an up and an out barrier.

I think that if the joint distribution for the minimum and the max of a Wiener is known, an analytical pricing formula should exists. Would this contain the relevant literature?

http://www.yats.com/doc/stochastic-processes-en.pdf

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