Many investment projects have a sequential nature and maximum construction rate. Especially, the rate at which construction proceeds is usually flexible and can be adjusted during the construction. Further, the arrival of new information can reduce the uncertainty of projects resulting from learning. Traditional discounted cash flow criteria, especially based on a single discount rate, ignore this flexibiity and understate the value of the project. This paper derives the optimal investment decision rules and values such investment projects using contingent claims analysis. We will show how time to build and reduction of uncertainty affect on the investment decision.