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We propose and experimentally investigate an exciton molecule consisting of two different excitons in coupled quantum dots (QDs). Quantum mechanical coupling between double QDs leads to the creation of bonding and antibonding states and should yield an exciton molecule consisting of two excitons that originate from these two states. We prepared a quantum mechanically coupled QD system and succeeded in observing a single exciton molecule in a single pair of coupled QDs by means of a two-color excitation photoluminescence measurement.