Infrastructure projects are characterized by different risks which come into play over the various phases of the projects. Typical risks which are associated with the development phase include delay in land acquisition. Construction-related risks such as time and cost overrun risks are the typical risks associated with the construction phase: demand risk, operation, and maintenance risk. Public–private partnerships (PPPs) allow for allocation of risks to the party best able to manage them. Public sector can pass on those risks which can be effectively managed by the private sector and retain those risks which they are in a better position to manage or their consequences. The effect of the optimal risk allocation is that the project will achieve better value for money and benefit from the efficiency gains than it otherwise would if retained wholly under government control. This chapter deals with financial risk for concessionaires in PPP projects. There is a lot of uncertainty in financial revenue for concessionaires as PPP projects are of long duration. This financial feasibility study was done using the real option analysis method and compared with the conventional discounted cash flow technique. A case study project of Panipat Elevated Corridor Limited, which is a highway implemented through the PPP model in Panipat city of Haryana, India, was selected. Discounted cash flow method analysis of the project showed a positive cash flow of INR 28.7 crores. Financial feasibility using real option analysis was carried out using SLS software. It helped in also considering the variation in traffic in both positive and negative variation which showed a variation of INR 113 crores to INR 92.7 crores for cash inflow of INR 103 crores. One more risk scenario was considered of competitive road which will lead to reduction in traffic projection, and cash inflow reduced to INR 93.5 crores on the higher side and INR 76.5 crores on lower side. It was determined that real option analysis is better in calculation of cash flow for risky projects like PPP projects, and concessionaire are in better position to take decision of whether to bid or not to bid for the project.