  We study a market model in which the volatility of the stock may jump at a
random time from a fixed value to another fixed value. This model was already
described in the literature. We present a new approach to the problem, based on
partial derivative equations, which gives a different perspective to the
problem. Within our framework we can easily consider several prescriptions for
the market price of volatility risk, and interpret their financial meaning.
Thus, we recover solutions previously cited in the literature as well as obtain
new ones.
