Book excerpt: The privatization policy for power generation system in Brazil needs that investments on new plants should be profitable. This depends on regulation rules: a) the cost of energy supplied on deficit situation; b) the normative value of energy that is the maximum value of energy for long-run contracts; and c) the uncertainty of price of natural gas (in Real). This paper connect parameters rules to the condition to private investment. To analyze this problem we admit that investors are rational, which means that it is represented by real option theory. The stochastic profit of the termogeneration plant that is the asset associated to the investment, depends on energy price on long-run contracts and on spot market price. This considering that energy dispatch is centralized due regulations rules.