The tools, with which Project Managers have traditionally undertaken their financial evaluation process, tend to omit important information about opportunities in and on the Project itself, like the option to abandon or reduce the scope or options to temporarily stop the development of a project. The valuation of such alternatives is treated by the Real Options Theory, which in recent years has found applications in various industries like mining, pharmaceutical, software development, and infrastructure projects among others. This work starts with a literature review and analysis of the different traditional tools used for investment project appraisal like, Montecarlo Simulation, Decision Theory and Discounted Cash flows, at the same time the multiple project feasibility indicators Net Present Value (NPV), Internal Rate of Return (IRR), Payback Period (PP) and Benefit-Cost Ratio (BCR) are explained and furthermore, a revision of the theory of options and derivatives is presented which are the predecessors to the Real Option Theory itself, finally a comparison among the different methodologies and Real Options applications are established.