In 2013, Resolution CMN 4,275 amended the wording of Resolution CMN 3,792, which determines the guidelines for investments of Brazilian pension funds. In the context of real estate investments, one of the effects of the new Resolution was the prohibition imposed on closed-end private pension entities (EFPCs) in acquiring more than 25 percent of the property that is under construction. Such a limitation discourages pension funds from acquiring real estate that is not fully constructed, since the purchase of only 25 percent of the property would place the entity as a minority partner, disturbing its involvement in the asset and impairing governance aspects of the property. If there is an interest in the purchase of the asset, it is possible for the institutional investor, within the new regulation, to acquire a call option in a percentage of the asset that gives it the majority shareholding position, that is, the acquisition between 51 percent and 100 percent of the property, with maturity on the date the asset is built. Within the scenario, this study, presents the call option as an alternative to enable the acquisition of type of asset, calculating the fair value of the premium to be paid by option. The result obtained showed that the premium for the acquisition of the option in the percentage of majority ownership varies from about 1.15 percent (to 51 percent of the property) to 2.29 percent (for 100 percent of the property) of the total value of the asset, in our view, makes the possibility of a business in this format unfeasible, since the values of premiums found are not attractive to the developer who has to bear the construction costs. Therefore, since pension funds have an interest in investing in real estate under construction in a percentage above 25 percent, as it limits current legislation, it is suggested that the regulatory body request a revision of the instruction requesting that such limit be applied to the total of benefit plan resources instead of considering the total value of the same enterprise, under the assumption of adjusting the investments to the size of each benefit plan.