Abstract: Based on the investor's preference for investment wealth and risk,the carbon emission option pricing model is studied. First of all,the-additive fuzzy measure is used to represent the difference of investor's fuzzy measure of carbon emission option value. The expect receipts utility function of investors is constructed by Choquet expectation integral. Secondly,according to the maximization of investment wealth utility,the optimal price of carbon option is derived under the condition of no constraint. Thirdly,combining the realistic constraints,the pricing model of the carbon emission option is constructed based on the maximization of investment wealth utility. Finally,the impact of utility function,fuzzy parameters and realistic constraints on the pricing of carbon emission option is analyzed by numerical calculation. The results show that the choice of utility function will reflect the change of investors' attitudes towards carbon option investment risk. The value of fuzzy measure parameters can reflect the subjective sentiment of individual investors and the degree of market information acquisition. Realistic constraints will force carbon option investors to abandon part of the implicit value of investment.