In this work we are concerned with valuing optionalities associated to investor to delay investment in a project when the available information provided tothe manager comes from simulated data of cash flows under historical (orsubjective) measure in a possibly incomplete market. Our approach is suitablealso to incorporating subjective views from management or market experts and tostochastic investment costs. It is based on the Hedged Monte Carlo strategyproposed by Potters et al (2001) where options are priced simultaneously withthe determination of the corresponding hedging. The approach is particularlywell-suited to the evaluation of commodity related projects whereby theavailability of pricing formulae is very rare, the scenario simulations areusually available only in the historical measure, and the cash flows can behighly nonlinear functions of the prices.
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