This study introduces a method for risk evaluation in P2X plant investments. The study analyses and models the financial effects of the realization of supply chain risks. The evaluation of risks is based on TCE risk theory, and the study seeks to understand the cost of uncertainty and pursues towards supply risk pricing. We investigate the impact of price fluctuations in electricity, hydrogen and e-fuel on the Discounted Cash Flow (DCF) profitability analysis, extending traditional single-value estimations using simulation. Monte Carlo simulations validate DCF projections, highlighting the project’s low profitability. Moreover, the study underscores the economic uncertainties associated with the shift towards fossil-free energy, emphasizing the substantial financing requirements. This study analyzed uncertainty related to price of electricity, hydrogen and e-fuel and showed uncertainty may impact on the firm’s governance decisions. The results indicate that new business ecosystem models need to be developed to ensure green energy transformation.