Firms shall be able to respond to their competitors’ strategies over time. Back and Paulsen (2009) thus advocate using closed-loop equilibria to analyze classic real-option exercise games but point out difficulties in defining closed-loop equilibria and characterizing the solution. We define closed-loop equilibria and derive a continuum of them in closed form. These equilibria feature either linear or nonlinear investment thresholds. In all closed-loop equilibria, firms invest faster than in the open-loop equilibrium of Grenadier (2002). We confirm Back and Paulsen (2009)’s conjecture that their closedloop equilibrium (with a perfectly competitive outcome) is the one with the fastest investment and in all other closed-loop equilibria firms earn strictly positive profits. This work is jointly with Zhaoli Jiang and Neng Wang.