The aim of this thesis is to give a short review of commodity markets especially energy markets and energy derivatives. Here the markets for oil, gas, electricity, emissions and weather , and their properties will be considered. Then two real options valuation models will be shown. A continuous-time optimal stopping formulation for power plant valutation, where the spark spread is modeled directly as a continuous-time Ornstein-Uhlenbeck process. And a Gaussian quadrature method for natural gas storage valuation with spot price following an Ornstein-Uhlenbeck process. The Esschertransform will be used to determine a riskneutral measure for riskneutral valuation of both models. Finally numerical results from riskneutral gas storage valuation will be discussed.