In this paper we study the relative advantage of investing in a natural gas combined cycle (NGCC) power plant versus a coal-fired power plant with and without carbon capture and storage (CCS) technology. For the investment analysis under uncertainty, we apply fuzzy real options theory. Three different price scenarios for fuel input and CO2 emission permits are taken into consideration. For the assumptions made, we find evidence that the NGCC and (to a lesser degree) the conventional hard coal-fired power plant are the most cost-effective options, followed by the two CCS technologies ‘Oxyfuel’ and ‘Pre-combustion’. In contrast, due to high specific investment costs and significant losses in conversion efficiency, the third CCS option ‘Post-combustion’ remains uneconomical. The sensitivity analysis reveals that already at moderate cost reductions, ‘Pre-combustion’ and ‘Oxyfuel’ both become economically viable and, at sufficiently low CO2 permit prices or interest rates, even the preferred options.