摘要： A two-factor spot underlying model is studied which contributes to the derivatives pricing in energy market. This model contains a stochastic mean reverting which is described by an Ornstein-Uhlen-beck process. In practice, as opposed to the classical assumptions of the derivatives pricing in a complete market, the scholars cannot find the risk-neural measure in energy market due to the non-storable property of some traded energies like electricity. The problem is addressed on how to find a suitable pricing measure and derive the new measure dynamics of the spot price model. Then, some probabilistic properties of the new measure dynamics are explored. Meanwhile, the European call option price is computed and the future price is written on the new underlying dynamics under pricing measure. All the results are closed form.