EDIT 17/01/2018 :
This is what is correct :
Header set X-Frame-Options SAMEORIGIN
Header append X-Frame-Options "ALLOW-FROM http://www.example.com/"
Header append X-Frame-Options "ALLOW-FROM http://example.com/"
Header append X-Frame-Options "ALLOW-FROM https://www.example.com/"
Header append X-Frame-Options "ALLOW-FROM https://example.com/"
So basicaly you only allow iframes from your site (SAMEORIGIN) and you specify with an "append" a list of allowed url. if you don't add the "append" each line will overwrite the previous one.
This actually works with internet explorer 11, doesn't work in Firefox 57, and is ignored by Chrome...
testing with https://securityheaders.io will not give you a "A" because they can't handle multiple uri
We couldn't detect a valid configuration. Expected values are "DENY", "SAMEORIGIN", "ALLOW-FROM (URL)" and "ALLOWALL".
Another possibility which seems to work in IE11 and Firefox is :
Header always set X-Frame-Options "ALLOW-FROM https://www.example.fr/ https://example.fr/ http://www.example.fr/ http://example.fr/"
It gives a "A" when you check the result with https://securityheaders.io
By the way i'm wondering what's the point of using a security setting that you can bypass using the most used browser in the world (Chrome) ??