  For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process
with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards
using a class of pricing measures that simultaneously allow for change of level
and speed in the mean reversion of both the price and the volatility. The risk
premium is derived in the case of arithmetic and geometric spot price
processes, and it is demonstrated that we can provide flexible shapes that is
typically observed in energy markets. In particular, our pricing measure
preserves the affine model structure and decomposes into a price and volatility
risk premium, and in the geometric spot price model we need to resort to a
detailed analysis of a system of Riccati equations, for which we show existence
and uniqueness of solution and asymptotic properties that explains the possible
risk premium profiles. Among the typical shapes, the risk premium allows for a
stochastic change of sign, and can attain positive values in the short end of
the forward market and negative in the long end.
