The Project Finance structures are increasingly being used to finance investment projects, especially for infrastructural projects. Therefore, a complex legal structure is used to ensure an appropriate allocation of risks to the project stakeholders. This project risk management is very important to ensure the financial viability and success of a structured finance, such as Project Finance. Now, analyzing the project from the economic point of view, a new approach for evaluating investment projects has been gaining strength in business companies and academy. That’s the Real Options theory which seeks to measure and value managerial flexibility which may arise during an investment project life cycle. Projects before unviable under the static view of investment analysis classical theory can become economically viable using this perspective. In Project Finance’s context can be regarded as real options contract terms (for certain guarantees of service), the project abandonment during its implementation, among others. In this sense, the dissertation presents a fictitious case modeling of a gas pipeline, analyzing the project s perspective with and without options. Thus, both methods were used: the analytical and Monte Carlo simulation.