Yes, price updates do not trigger events. If you want to handle events, you'll need to implement your own IPriceService and IPriceDetailService which will trigger events when you call save. I guess you can mimick what we are doing in PriceServiceDatabase and PriceDetailDatabase and add relevant events.
More information can be found here:
I have just blogged about a potential solution for this: http://david-t.ec/1B4qZ1c
Thanks for the solution. I have tested and it seems to trigger correctly. Will let you know if there are any further issues.
Thanks Sandeep, if it works for you please can you mark as answered so the comminity can benefit.
Stay tuned for Commerce 8.15, will be released in a couple of days. It will have new API:s to listen and fire events when prices and inventories are updated.
More information can be found here: http://world.episerver.com/blogs/Quan-Mai/Dates/2015/7/new-events-for-price-and-inventory-updates/