The pricing theory of financial assets embodies the overall coordination mechanism of the market, investment subject, and financial system. This theory has also become one of the core theories to explain financial phenomena scientifically and guide the operation of the financial market. It is undeniable that the operation mode of the western financial market and its core financial asset pricing model have positive reference significance for the development of Chinese finance and the construction of the modern financial system. Through my multi-level research on the development of financial asset pricing theory, the paper analyzes the development links of the standard financial pricing theory and behavioral asset pricing theory and explains the application and deficiency of asset pricing theory, which will provide a reference for the research of Chinese economics in the field of asset pricing.