The correlated Pariser-Parr-Pople model Hamiltonian for interacting pi-electrons is employed for calculating frequency dependent linear polarizability as well as first and second hyperpolarizabilities of linear chain phosphazenes (-P=N-)(x) (x=3-6). The model parameters for phosphorus and nitrogen are obtained by comparing the theoretical excitation energies with experimental spectra of the known phosphazene systems. The optical gap of the phosphazene oligomers extrapolates to 3.7 eV compared to 2.8 eV of their organic analogs, namely, the polyenes. The linear polarizability of the phosphazene systems are comparable to those of the polyenes. However, the third harmonic generation coefficients are smaller at the same excitation energies. The power law exponent for the third harmonic generation coefficient in phosphazenes is also much smaller than that in polyenes. The second harmonic generation coefficients of the phosphazenes are smaller than those of the push-pull polyenes. Introduction of terminal push-pull groups on phosphazenes does not significantly improve the second harmonic generation response of these systems.