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Assuming the options do not pay dividends, is there a strike price that satisfies this?

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  • $\begingroup$ Trivially, at maturity (t=T) $P_E=P_A$, otherwise no, because there is a possibility of early exercise for the American Put. $\endgroup$ – noob2 Apr 6 at 14:28
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    $\begingroup$ If I am not mistaken, the possibility of early exercise imples $P_A \geq P_E$, but not $P_A > P_E$. There might be combinations of circumstances and contract parameters which guarantees early exercise would always be suboptimal. I don't know of any, but failing to provide a proof isn't a proof of failure. $\endgroup$ – Stéphane Apr 6 at 16:02
  • $\begingroup$ You are right (and I am wrong)... r=0 would do it. Also, even with positive r, a strike of zero would do it: you would never exercise. $\endgroup$ – noob2 Apr 6 at 23:00
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If there is no interest rate, the european and american put prices are the same for every strike.

More details can be found in my answer for the question below:

Longstaff Schwartz Algrorithm in R

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