Carbon capture and sequestration is a possible technology for abating carbon dioxide emissions. This is costly and requires investment in capture, transportation and storage facilities, and compensation for possibly substantial operational cost at these facilities. On the other hand, this option avoids buying carbon offsets, and the CO2 may in some cases be used for enhanced oil recovery. Stochastic dynamic programming is applied to perform the underlying investment analysis, that is, to decide whether investment on a CO2 value chain is profitable, and if so, then when the decisions should be taken. The oil and CO2 prices are modelled as stochastic processes. As a case study we consider possible CO2 value chain investments on the Norwegian Continental Shelf.