Abstract: Using Monte Carlo Simulation, Cholesky Decomposition, taking ZYJQ09001A issued by Bank of China as an example, rationality of pricing multi-asset structured financial products is studied. The results show that ZYJQ09001A's issuing price with 1.91% implied premium rate is slightly more than its theoretical value. So it is proposed that government and regulators should establish a sound management approach on structured financial products; Commercial Banks should improve the pricing mechanism and information disclosure mechanisms for structured financial products.