I can't remember if it's true, or maybe my mind is playing tricks on me, but an update will only update rows once even if a correspondant select would show multiple lines.

Here's a trick that might be adequate to your situation, but I can't claim it will be good enough performance wise.

WITH rowsCTE AS(

SELECT *, ROW_NUMBER() OVER(PARTITION BY Name ORDER BY ExDate) rn

FROM @Splits

),

recCTE AS(

SELECT *

FROM rowsCTE

WHERE rn = 1

UNION ALL

SELECT row.Name, row.ExDate, row.ShareIn * rec.ShareIn, row.ShareOut * rec.ShareOut, row.rn

FROM rowsCTE row

JOIN recCTE rec ON row.Name = rec.Name

AND row.rn = rec.rn + 1

)

UPDATE s

SET ClosePrice = ClosePrice * Share

FROM @StockPrice s

CROSS APPLY( SELECT TOP 1 ShareOut / ShareIn AS Share FROM recCTE sp WHERE s.Name = sp.Name

AND s.PriceDate >= sp.ExDate

ORDER BY sp.ExDate DESC )x