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The problem of European-style option pricing in time-changed L\'{e}vy modelsin the presence of compound Poisson jumps is considered. These jumps relate tosudden large drops in stock prices induced by political or economical hits. Asthe time-changed L\'{e}vy models, the variance-gamma and the normal-inverseGaussian models are discussed. Exact formulas are given for the price ofdigital asset-or-nothing call option on extra asset in foreign currency. Theprices of simpler options can be derived as corollaries of our results andexamples are presented. Various types of dependencies between stock prices arementioned.

Option pricing in time-changed L\'{e}vy models with compound Poisson jumps