Patent ID: 8738511

Claim:
A method comprising: receiving variable defined derivative product order data at a match system, wherein the match system comprises a processor configured to control operation of the match system, wherein the variable defined derivative product order data corresponds to an option and an underlying contract, wherein the received data identifies a hedge order, and wherein the received data identifies an order pricing formula based on at least one of (a) a rate of change in a theoretical value of the option for a one-unit change in a price of the underlying contract, (b) a rate of change in (a) for a one-unit change in the price of the underlying contract, and (c) a rate of change in a theoretical value of the option for a one-unit change in a volatility of the underlying contract; calculating, by the match system, an order price based on the order pricing formula; identifying, by the match system, an option product transaction associated with the calculated order price; searching for an available hedge product transaction associated with the hedge order; and executing, based at least in part on the identifying, and by the match system, the option product transaction and the available hedge product transaction.