We propose a new approach to pricing of capacity in service systems with blocking, using spot and derivative market mechanisms. A second-price auction among arrivals grouped in batches gives rise to the ``spot market'' of usage charges.

A reservation guaranteeing access for an arbitrary duration with a usage price below the bid can be made at any time before or during service, thus eliminating the risk, inherent to the spot market, of being dropped before service completion. The reservation is defined as a ``hold option'', analogous to derivative financial instruments (e.g. options, futures) integrated over time. Based on a diffusion model for the corresponding two-stage queueing system, we compute the reservation fee as the fair market price of a hold option.

We illustrate this approach with simulations using real traces from a dial-up Internet access modem pool.