A substantive obstacle to experimentally studying cigarette smoking and use of other tobacco products in pregnant women is the risk of adverse effects on mother and fetus from experimenter administration of the product of interest. The purpose of this study is to investigate bypassing that obstacle by using behavioral economic simulation tasks. In the present study we used the Cigarette Purchase Task (CPT) to simulate changes in demand for hypothetical cigarettes as a function of varying cigarette prices. Participants were 95 pregnant women who completed the CPT prior to participation in a smoking‐cessation trial. Aggregate and individual participant demand varied as an orderly function of price and those changes were well fitted by an exponential equation. Demand also varied in correspondence to two well‐validated predictors of individual differences in smoking cessation among pregnant women (cigarettes smoked per day, pre‐pregnancy quit attempts). Moreover, CPT indices were more effective than these two conventional variables in predicting individual differences in whether women made a quit attempt during the current pregnancy. Overall, these results represent a promising step in demonstrating the validity and utility of the CPT for experimentally examining demand for cigarettes, and potentially other tobacco and nicotine delivery products, among pregnant women.