The problem of optimal consumption/investment and option pricing for maximizing the expected consumption utility in an incomplete market was studied. Under the assumption that the underlying asset is non-traded and follows a mean -reverting process, we obtnined the optimal consumption and investment strategy, together with a partial differential equation for the European option pricing by stochastic dynamic programming and consumption utility indifference pricing principle. Numerical examples were presented. The results indicate that risk aversion will decrease option price, which changes with time but also depends on the mean reverting level under such model, i.e. according to two different cases the option price may increase or decrease with time respectively.