How to structure class for deserializing this nested array?

The proper way to solve this is to write a custom TypeAdapter for your Price class. This has the advantage that you can keep your model classes as is (with a List<Price> prices field), and have them represent more closely the actual data. If instead you parsed the JSON data as List<List<BigDecimal>> or similar, then you would have to manually validate that the JSON data is wellformed and have to convert the List<BigDecimal> to a Price object yourself.

Here is how a TypeAdapter implementation for your Price class could look like:

class PriceTypeAdapter extends TypeAdapter<Price> {
    @Override
    public void write(JsonWriter out, Price value) throws IOException {
        out.beginArray();
        out.value(value.date);
        out.value(value.price);
        out.endArray();
    }

    @Override
    public Price read(JsonReader in) throws IOException {
        in.beginArray();

        Price priceObj = new Price();
        priceObj.date = in.nextLong();
        // nextString() automatically converts JSON numbers to String, if necessary
        // This is similar to how Gson's default adapter for BigDecimal works
        priceObj.price = new BigDecimal(in.nextString());

        in.endArray();

        return priceObj;
    }
}

Note: Alternatively to reading the BigDecimal manually as shown here, you could create this type adapter inside a TypeAdapterFactory and get the default Gson adapter for BigDecimal. This allows reusing Gson's built-in adapters inside your own type adapter, but here for BigDecimal that overhead is probably not worth it.

You can then either register your adapter on a GsonBuilder instance or you can place an @JsonAdapter annotation on your Price class, which references the adapter. In case you use the GsonBuilder approach, you might want to create a null-safe variant of your adapter by calling nullSafe() on it (or you implement null handling in the adapter manually).