It may be possible that your database log file runs out of disk space.   You might be able to use BULK INSERT with a format file instead...

The method needed is to first generate a list of dates and prices, and then group those values by product and the fact that the price changed between a pair...

As I don;t know SSAS at any level of detail, I'm not aware of how one does that, but from a practical perspective, unless there is some unknown performance degradation...

NikosV,

Just to try and put some clarity on this.   There are so many possible approaches to this that picking one over the other would absolutely require fairly detailed...

Just to demonstrate the validity of the code provided by Rick-153145. try running this:
SET NOCOUNT ON;
DECLARE @Today AS date = '20180902';

WITH Numbers AS (

    SELECT...

You are using the wrong measure to determine the number of bytes of storage.   LEN and DATALENGTH are string functions.   LEN does not include trailing spaces, which is why DATALENGTH...

I can only presume you chose to NOT read Jeff's signature links and put the data in "readily consumable" form.   That is NOT a spreadsheet, as many are unwilling to...

Sorry, but that's not the functionality of BULK  INSERT.   If you want that kind of row by row examination, you have to use SSIS instead.