Você poderia tentar algo assim:
SELECT date, grp, id
, (SELECT TOP 1 price
FROM price_table P2
WHERE P1.id = P2.id
AND P1.grp = P2.grp
AND P2.date <= P1.date
ORDER BY P2.date DESC)
FROM price_table P1
WHERE P1.date IN ('12/31/2009', '11/30/2009')
AND P1.grp IN ('Group1')
Editar Para obter o último registro de cada mês, grupo e id, você pode tentar isto:
SELECT date, grp, id, price
FROM price_table P1
WHERE P1.date = (SELECT MAX(date)
FROM price_table P2
WHERE P1.grp = P2.grp
AND P1.id = P2.id
AND YEAR(P1.date) = YEAR(P2.date)
AND MONTH(P1.date) = MONTH(P2.date))
AND P1.grp In ('Group1')
