Parisian (Parasian) options are complex exotic options. In this paper, we define the nonlinear Parisian (Parasian) options, and construct the pricing formula of partial differential equations based on the backward stochastic differential equations. We present two examples of imperfect market, one is that the expected return is uncertain, the other takes into account a higher interest rate for borrowing than for lending. Results show that the pricing mechanism of nonlinear Parisian (Parasian) is more reasonable.