  In this note we discuss - in what is intended to be a pedagogical fashion -
FX option pricing in target zones with attainable boundaries. The boundaries
must be reflecting. The no-arbitrage requirement implies that the differential
(foreign minus domestic) short-rate is not deterministic. When the band is
narrow, we can pick the functional form of the FX rate process based on
computational convenience. With a thoughtful choice, the FX option pricing
problem can be solved analytically. The European option prices are expressed
via (fast converging) series of elementary functions. We discuss the general
approach to solving the pricing PDE and explicit examples, including
analytically tractable models with (non-Ornstein-Uhlenbeck) mean-reversion.
