Two-color partial rainbow options, or TCPRO for short, are proposed. Such options allow
holders to choose between the two underlying vanilla options at a specifed time before expiry.
Examples of benefits of TCPROs to both holders and issuers are given. Pricing formulae for
such options are derived. The extra premium due to the choosing feature of a TCPRO, called the price of choice, is a nonnegative decreasing function of the correlation coeffcient of the two underlying assets and the remaining time to choosing. Numerical results are obtained to show
that while TCPROs are more valuable than the underlying vanilla options, their risk parameters such as delta and gamma are smaller.