Digital double barrier options: Several barrier periods and structure   floors
  We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an application, we calculate the value of a structure floor for structured notes whose individual coupons are digital double barrier options. This value can also be approximated by the price of a corridor put. 
S\"uhan Altay, Stefan Gerhold, Karin Hirhager
q-fin.PR math.PR