The Welshman saw off Gary Anderson 7-3 in the final to be crowned champion for the first time and also move to number one in the world.
Price produced some stunning darts on his way to victory, including a breathtaking sixth set where he just missed out on a nine-darter.
Anderson had started well by taking the first two legs of the evening, but he missed three darts to clinch the set and Price bounced back to go 1-0 up.
Scot Anderson hit back to level, but from then on the Ice Man took charge.
He race into a 4-1 lead and then hit the heights in the sixth set. He took the opening two legs in 11 and 12 darts and then missed double 12 for a nine-darter. But he checked out on dart number 10 for a set average of 136.
After hitting 12 out of 12 shots at double top he missed with attempt number 13 as, not surprisingly, he failed to maintain his ridiculously high standard and Anderson took advantage to make it 5-2.
Price then moved within a set of victory at 6-2 but with the finish line in sight he endured a bit of a wobble. He missed nine match darts as Anderson cut the deficit to three. But Price managed to regain his composure and got the job done in the next set to seal victory and bank the £500,000 winner’s cheque.