The article discusses how to price Vanilla options in a market with changing volatility. By using a specific mathematical function for the volatility drift, researchers found a way to calculate option prices accurately. This method involves choosing a measure where the volatility drift is zero, which is possible due to a theorem called Girsanov theorem. This approach works even in incomplete markets, where the risk price of volatility is arbitrary. The researchers were able to derive a closed-form solution for pricing Vanilla options, including in well-known models like Heston's.