An exotic option whose payoff depends on two assets at the same time, rather than one as is usually the case with standard options (vanilla options). Generally, pricing two-asset option is based on the premise that the two underlying assets follow a geometric Brownian motion. Assuming no arbitrage possibilities, a two-asset option can be valued using the following set of parameters: tenor of the option, spot prices of the two underlyings, dividends rates for both underlyings, volatility of the underlyings, and correlation between the returns of the two assets. Interest rate is irrelevant for the pricing of a two-asset option. An example of a two-asset option is a zero-coupon bond that yields a stated rate of interest, while allowing the holder to choose the currency in which the interest payment is denominated. Essentially, this option represents a call on the maximum value of two assets, i.e., the repayment in one currency or another.

Options on more than two assets are called multi-asset options, basket options, options on baskets or rainbow options. In general, two-asset options can be classified as American two-asset options and European two-asset options.

The two-asset option is also called a two-color rainbow option.