A model for analyzing limit order trading in index futures markets

Open positions in futures are rarely held until expiration. Typically, the position will be closed out earlier, a so called early unwinding takes place. The early unwinding could be triggered by the fact that the futures price hits a pre-specified level. For instance, the investor could give a limit order. The paper investigates the success probability and the expected profit of limit strategies based on the model of geometric brownian motion.