Like already said above "the exchange" itself does not sell or buy bitcoins, so it cannot price them. Instead, someone with coins will (hopefully) put up an sell order with a limit price. For example sell 1 BTC for 850 USD. This will then show up in the order book on the "ask" side (asking for 850 USD for a coin).
Now if someone wants to buy coins he can put up a buy order at some price. If this price is < 850 USD, lets say 800 USD, then no trade will happen but the order will show up on the "bid" side of the order book.
On the other hand, if he puts up a buy order with a price >= 850 USD then the order will be matched with the order on the ask side and the coin will be traded to the buyer or 850 USD and the last price for bitcoins on the exchange is hence 850 USD.
As you can see the price is entirely determined by users buying and selling, not by the exchange itself.
If you want to see what this looks like, just look at an alt-coin market with very little volume (no idea what coin this is, I just picked it randomly:
https://www.cryptsy.com/markets/view/48).