The significant hydric potential available in Brazil has been attracting investments in this business area. On the other hand, traditional valuation methods such as Discount Cash Flow (DCF) do not incorporate the value of the options investors possess when managing their capital investment decisions and as a result, the value of these assets may be undervaluated. In this dissertation, we use the Real Options Approach to analyze the financial feasibility of a hydroelectric power plant project that can expand its generation capacity throughout its concession life. We consider uncertainties such as the spot price of energy, the water flow in the construction region of the project, the energy generation loss factor, macroeconomic parameters such as the TJLP interest rate and the IGP-M inflation rate, and also the possibility that the capital investment decision be postponed. Considering that the spot price of energy follows a long-term mean reversion process, the value of the flexibilities analyzed is not significant. Nevertheless, a sensitivity analysis of the volatility and investment required for an expansion parameters shows that the value of this project increases from R$ 1.449 millions to approximately R$ 1.650 millions. Given the high level of uncertainty regarding the future supply of energy in Brazil, we concluded that the Real Options Approach offers a better valuation of a flexible investment project given the uncertainty concerning the parameters used in the model.