巴黎期权是一种复杂的奇异期权.本文基于倒向随机微分方程,定义了巴黎期权的非线性价格过程,分析其性质,并且给出巴黎期权非线性定价的偏微分方程表达式.在金融市场收益率不确定的情形以及存贷利率不同的情形下分别对连续巴黎期权进行定价和具体的数值分析,结论显示巴黎期权的非线性定价机制更具合理性. Paris option is a complex exotic option.Based on backward stochastic differential equation, this paper defines the nonlinear price process of Paris option, analyzes its properties, and gives the partial differential equation expression of nonlinear pricing in Paris option.In the financial market The pricing of the continuous Paris option and the specific numerical analysis separately under the situation of the uncertain yield and the deposit and lending interest rates, the conclusion shows that the non-linear pricing mechanism of the Paris option is more reasonable.