The basic principle of real option, the connotation and the solution of Asian option were dissertated. From the spline function model, the fault-free term structure of interest rates (TSIR) was induced for the samples of treasure bonds from Shanghai Stock Exchange (sse), faultable TSIR was induced for the samples of corporate bonds from sse and fault-free interest rate of treasure bonds was taken as riskfree interest rate and faultable interest rate of corporate bonds was taken as the discount rate.  Combination of Asian option with game theory, the R&D investment decision in duopoly market structure was mainly analyzed.  An example is also given.