  The article is devoted to models of financial markets with stochastic
volatility, which is defined by a functional of Ornstein-Uhlenbeck process or
Cox-Ingersoll-Ross process. We study the question of exact price of European
option. The form of the density function of the random variable, which
expresses the average of the volatility over time to maturity is established
using Malliavin calculus.The result allows calculate the price of the option
with respect to minimum martingale measure when the Wiener process driving the
evolution of asset price and the Wiener process, which defines volatility, are
uncorrelated.
