We conduct a laboratory experiment to study whether people intuitively use real option strategies in a dynamic investment setting. The participants were asked to play as an oil manager and make production decisions in response to a simulated meanreverting oil price. Using cluster analysis, participants can be classified into four groups, which we label as "meanreverting", "Brownian motion realoption", "Brownian motion myopic realoption", and "ambiguous". We find two behavioral biases in the

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... tegies by our participants: ignoring the meanreverting process, and myopic behavior. Both lead to too frequent switches when compared with the theoretical benchmark. We also find that the last group behaves as if they have learned to incorporating the true underlying process into their decisions, and improved their decisions during the later stage. Abstract We conduct a laboratory experiment to study whether people intuitively use real-option strategies in a dynamic investment setting. The participants were asked to play the role of an oil manager and make production decisions in response to a simulated mean-reverting oil price. Using cluster analysis, participants can be classified into four groups which we label as "mean-reverting," "Brownian motion realoption," "Brownian motion myopic real-option," and "ambiguous." We find two behavioral biases in the strategies of our participants: ignorance the mean-reverting process, and myopic behavior. Both lead to overly frequent switches when compared with the theoretical benchmark. We also find that the last group behaved as if they had learned to incorporate the true underlying process into their decisions, and had improved their decisions during the later stage.