This comparative study evaluates an investment project on renewable energy based on wind power. We have conducted the study in three European Union countries: Denmark, Finland and Portugal. We have modelled the main uncertainties that affect this kind of project, such as the cost and production of electric power, investment costs and consumer price index. For each of these countries, we have analysed the mechanisms of public support for wind energy. We have identified the real options included in the regulatory frameworks of these three countries and assessed how they affect the expanded net present value of the project. To this end, we have used two different methods of option valuation: the Monte Carlo method and the binomial method. We have proved that the obtained results using both methods are quite similar. Finally, we have evaluated the public incentives for wind energy offered in each of these three countries and concluded that, in economic terms, Finland is the country with the strongest support for this kind of energy, followed by Denmark and, in the last place, Portugal. (C) 2012 Elsevier Ltd. All rights reserved.