A foreign equity option (or quanto option) is a derivatives security whose value depends on an exchange rate and a foreign equity.In this talk, the valuation of quanto options is studied when the foreign equity prices and the exchange rates follow double exponential jump diffusions (DEJD).Traditionally, it is assumed that the diffusion parts of the two assets are correlated but the Poisson processes and the jump sizes arc indepcndcnt across assets.In particular, the two undcrlying assets arc allowed to have common jumps and dependent jump sizes.The jump sizes are modelled by the multivariate exponential distribution of Marshall and Olkin (1967).Analytical pricing formulas arc obtained for various types of quanto options.When the exchange rate and foreign asset evovle as DEJD, it is shown that the domestic equivalent asset follows a mixture exponential jump diffusion (MEJD).Laplace transforms of various forms under MEJD are derived and the corresponding Laplace inversions arc implemented.The proposed apporach is applied to options on two assets such as the quanto options and path-dependent options under ME;ID.Numerical results demonstrate the usefulness of the proposed approach.