  We consider the Black--Scholes model of financial market modified to capture
the stochastic nature of volatility observed at real financial markets. For
volatility driven by the Ornstein--Uhlenbeck process, we establish the
existence of equivalent martingale measure in the market model. The option is
priced with respect to the minimal martingale measure for the case of
uncorrelated processes of volatility and asset price, and an analytic
expression for the price of European call option is derived. We use the inverse
Fourier transform of a characteristic function and the Gaussian property of the
Ornstein--Uhlenbeck process.
