Question: Triangular Arbitrage with Bid-Ask Spread S (/ ) = S($ / )/S($/ ) Suppose Citibank's quote: $1.5445 - 1.5460 / Barclay's quote: $1.9443 - 1.9453

Triangular Arbitrage with Bid-Ask Spread S (/ ) = S($ / )/S($/ ) Suppose Citibank's quote: $1.5445 - 1.5460 / Barclay's quote: $1.9443 - 1.9453 / Dresdner's quote: 1.2789 - 1.2799 / Cross-rate between Citibank and Barclay should be 1.2589 / , compared to the actual Dresdner quote of 1.2789/ . Is triangular arbitrage possible if an investor starts with 1 million and follows the following two strategies independently? (a) Euros to Dollars to Pounds to Euros. (b) Euros to Pounds to Dollars to Euros. Are there are arbitrage gains or losses in either case? If yes, how much

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