ABSTRACT
In this chapter we introduce the reader to a special class of multi-asset or rainbow options. Dual-asset options have an expiry T payoff of the form V (x, y, T ) = f(x, y), where x and y denote prices of two distinct assets X and Y , which are generally correlated. Examples include exchange options and call/put options on the maximum or minimum of two assets. Both these well known examples are analyzed in this chapter.
