The paper examines a potential role of financing Africa’s infrastructure projects, particularly in Africa, with bonds indexed to the project. Using option-pricing techniques, the author shows that an infrastructure indexed bond is equivalent to a regular bond and a short position on a European put option. The results of the paper suggest that the value of the infrastructure indexed bond increases monotonically as the value of the project it is financing rises. In addition, the market value of the infrastructure-indexed bonds falls as the value of the project becomes more volatile. The rise in the dividend rate on the project is observed to have an adverse effect on the value of infrastructure-indexed bonds.