Step 1:
Bhagavadgita occurs in the Bhishma Parva of Mahabharata.
\[
\boxed{\text{Assertion A is correct}}
\]
Step 2:
Anushasana Parva is indeed one of the Parvas of Mahabharata.
Thus, Reason R is also correct.
Step 3:
The existence of Anushasana Parva does not explain why Bhagavadgita belongs to Bhishma Parva.
Step 4:
Hence:
\[
\boxed{\text{Both A and R are correct but R is NOT the correct explanation of A}}
\]
Therefore, the correct answer is:
\[
\boxed{\text{(2)}}
\]