Options involving two or more risk assets are sometimes referred to as Rainbow Options.
There are three types of Rainbow Options: "better-of", "worse-of", and "out-performance".
Assuming no arbitrage possibilities, the following parameters are needed to price a rainbow option:
In this calculator example, we price 3 types of rainbow options which involve two underlyings (two color rainbow option).
Interest rates (in the model) are assumed to be semiannually compounded.
Pricing Models Page Available is a Swing Java Jar File if you just wish to run the models.