RETURN inside a transaction with TRY-CATCH block

I have the following code, and I am wondering, as a generic example, if the transaction is left open if it exits with RETURN.

BEGIN TRANSACTION
    BEGIN TRY
        IF NOT EXISTS(SELECT 1 FROM dbo.tblProducts WHERE intProductID = @intProductID)
            BEGIN
                SELECT 'Product does not exists' AS strMessage
                RETURN
            END

        UPDATE dbo.tblProducts SET
            curPrice = 10
        WHERE
            intProductID = @intProductID

        SELECT 'Success' AS strMessage

    END TRY 

    BEGIN CATCH
        SELECT ERROR_MESSAGE() AS strMessage
        IF @@TRANCOUNT > 0
            ROLLBACK TRANSACTION
    END CATCH

IF @@TRANCOUNT > 0
    COMMIT TRANSACTION