A .joboptions file is a PDF preset. You will want to load it so you can export the PDF the way they want it for production.
File > Adobe PDF Presets > Define. In Adobe PDF Presets dialog click Load button and navigate to file with print fogra39.joboptions on your hard drive. Click on print fogra39.joboptions file to select it then click Open. When you see new preset listed in Presets section in top left corner click Done button to confirm and exit dialog.
Later after you've finished your design work you can go to FILE > Adobe PDF Presets and choose the Print Fogra39 option. This will output the PDF to the studio's specifications.
Hope this helps.
Thank you very very much for your precise and quick answer! Highly appreciate it!
I have asked the printing studio for their color profile, so the colors can match.
A PDF .joboptions could include the Coated Fogra39 profile as the Destination profile for color conversions in the Export Output tab, but that doesn't mean you are color managing your document with Fogra39. Ideally you would not want to use the default US Web Coated (SWOP) as your document CMYK profile and then convert to a different profile on export because that would force a CMYK-to-CMYK conversion, which should be avoided.
To color manage documents for Coated Fogra39 you'll need to set up a Color Settings preset that assigns Fogra39 as the CMYK profile for new documents (for existing documents you'll have to assign the profile via Edit>Assign Profiles...). The saved CSF should be something like this:
If you make conversions to CMYK in Photoshop Fogra39 should be the destination profile.