  Spot option prices, forwards and options on forwards relevant for the
commodity markets are computed when the underlying process S is modelled as an
exponential of a process {\xi} with memory as e.g. a L\'evy semi-stationary
process. Moreover a risk premium \r{ho} representing storage costs,
illiquidity, convenience yield or insurance costs is explicitly modelled as an
Ornstein-Uhlenbeck type of dynamics with a mean level that depends on the same
memory term as the commodity. Also the interest rate is assumed to be
stochastic. To show the existence of an equivalent pricing measure Q for S we
relate the stochastic differential equation for {\xi} to the generalised
Langevin equation. When the interest rate is deterministic the process ({\xi};
\r{ho}) has an affine structure under the pricing measure Q and an explicit
expression for the option price is derived in terms of the Fourier transform of
the payoff function.
