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For a commodity spot price dynamics given by an Ornstein-Uhlenbeck processwith Barndorff-Nielsen and Shephard stochastic volatility, we price forwardsusing a class of pricing measures that simultaneously allow for change of leveland speed in the mean reversion of both the price and the volatility. The riskpremium is derived in the case of arithmetic and geometric spot priceprocesses, and it is demonstrated that we can provide flexible shapes that istypically observed in energy markets. In particular, our pricing measurepreserves the affine model structure and decomposes into a price and volatilityrisk premium, and in the geometric spot price model we need to resort to adetailed analysis of a system of Riccati equations, for which we show existenceand uniqueness of solution and asymptotic properties that explains the possiblerisk premium profiles. Among the typical shapes, the risk premium allows for astochastic change of sign, and can attain positive values in the short end ofthe forward market and negative in the long end.

A change of measure preserving the affine structure in the BNS model for commodity markets