<p>Solar energy projects represent a sustainable investment opportunity. This sustainability aspect becomes stronger if solar energy projects involve more inhabitants, while pursuing the smart city goal. The evaluation of these projects is a very demanding task, as they are characterized by unpredictable electricity prices and uncertainty about their future performance. The non-storability of electricity implies that a small change in demand or capacity generates jump in prices that, in turn, can make the revenues volatile. In addition to this, smart city projects are characterized by sequential logic because they are not pursued in one-shot investment, but they are characterized by various investment stages. Considering these aspects, we propose an innovative methodology to model the performance of solar energy projects by using a compound exchange option model with jump processes. This model allows to consider: the stochastic nature of revenues and costs; the jump component in the electricity prices evolution; the sequential logic and the “optionality” to avoid to continue the project if it becomes unprofitable during the time. A case study is also proposed and the results show that, differently from the classical Net Present Value approach, the compound exchange option model with jump processes prices adequately the smart city renewable projects that, in addition to be financially profitable, are in line with the UN Sustainable Development Goals.</p>