In recent years, although rail transport has contributed significantly to the productivity of the Chinese economy, it has also been faced with the fierce competition and challenge from other modes of transportation, and therefore, freight-pricing issue has received more attention by researchers. In this paper, the rail freight option (RFO) based on option theory is proposed to study the optimal pricing decision of the railway transportation enterprise and contract customers’ optimal purchase decisions. To obtain an effective RFO contract, the railway freight contract transaction process is first analyzed. Then, the theoretical framework for the RFO contract trading is put forward in the railway freight market. Next, a two-stage Stackelberg game theoretic approach is presented based on the principle of utility maximization to achieve the optimal decision of RFO contract. Subsequently, the reverse reasoning method in dynamic programming is used to solve the optimal combination decision of the contract customer. Finally, the optimal pricing decision of RFO is discussed using Kuhn–Tucker conditions and Lagrangian function. The result shows that the railway transportation enterprise should pay more attention to the option strike price w1 in terms of maximizing system utility and achieving Pareto optimal.