In this dissertation, we consider European-style commodity options and futures options where the logarithm of the underlying commodity price dynamics is governed by the regime-switching Ornstein-Uhlenbeck model. A semi-analytical approach to value commodity options and futures options is adopted. We derived closed-form expressions for the characteristic functions of the logarithmic commodity spot price and futures price. We also extend our work to investigate the pricing of European- style commodity options and futures options with a Markovian regime-switching Hull–White stochastic interest rate model. The parameters of this model, including the mean-reversion level, the volatility of the stochastic interest rate, and the volatility of the commodity spot price, are modulated by an observable, continuous-time, finite-state Markov chain. A closed-form expression for the characteristic function of the logarithmic commodity price and futures price are derived.