Black-Scholes is useful for valuing real options, but not in the way often used for new ventures. The use rests on an apparent analogy between real and stock options. Although conceptually helpful, a direct analogy is flawed for most real ventures. The most critical flaw is the assumption that the variance in new venture outcomes is a continuous time function and must be derived from a so-called tracking stock. The analogy also requires that the present value of venture cash flows be the equivalent of a current stock price in the Black-Scholes equation. Determining this certainty equivalent requires subjective inputs, for which guidance is usually lacking. This paper reviews the analogy problems and ways to resolve them for new venture situations, including the problem of estimating risk discounts for new ventures.