Based on the dual background of the increasingly serious problem of population aging and the re-listing of treasury bond futures market, the market demand for structured pension financial products is gradually expanding, which also puts forward higher requirements for the pricing strategy of embedded Asian options in products. Therefore, this paper designs an inclusive pension financial product with embedded Asian options, and further studies the pricing of the product with embedded Asian options under Monte Carlo simulation. Monte Carlo simulation can simulate the future trend and final value of asset prices under risk-neutral conditions, and can effectively overcome the problem that Asian options embedded in structured financial products have no analytical solution. At the same time, the probability distribution of product returns is calculated by constructing the bear market call option strategy, and the result of product breakeven probability measure is obtained. The data shows that Asian options have a good smoothing effect on the fluctuation of maturity profit and loss, which can improve the breakeven probability of products to a certain extent and reduce investors’ financial risks. It is suitable for structured pension financial products.