This study deals with Gazprom’s investment strategy regarding Russia’s gas exports and export market behaviour, with a focus on European infrastructure projects, in a the geopolitical context. Because of its large gas reserves, Russia is well-positioned to take advantage of gas exports even as it faces possible competition from other gas suppliers and uncertain gas demand. Gas export earnings are an important source of income for Russia. As a government-controlled firm, Gazprom depends to a large extent on Europe for its hard-currency income. For Russia and Gazprom, the stream of income from gas exports and its expansion are economically vital. In this regard, gas export infrastructures such as Nord and South Stream could act as important instruments to expand Gazprom’s market share in current markets and in growth markets. This study uses a real-option game model to assess the overall value of gas infrastructures in the face of demand uncertainties and potential competition. The result of this approach illustrates the strategic-economic character of Gazprom’s infrastructure investments in possibly creating a first-mover’s advantage. Yet, the model is of a highly stylised nature. Therefore, other aspects should be taken into account in assessing gas infrastructure investments. Besides the goal of possibly expanding Gazprom’s market share, infrastructure investments could serve to mitigate overall transit risks. However, Gazprom’s organisational constraints in realising gas infrastructures could put into question the rationale of such investments. In addition, Gazprom’s position as well as that of Russian gas may be pressured by European (regulatory) policy in favour of alternative gas and other energy sources. The desired market outcomes for Gazprom have an impact on the prioritisation of Russian investments in the gas value chain.