You are to price options on a futures contract. The movements of the futures price are modeled by a binomial tree. You are given:

(i) Each period is 6 months.

(ii) u/d = 4/3, where u is one plus the rate of gain on the futures price if it goes up, and d is one plus the rate of loss if it goes down.

(iii) The risk-neutral probability of an up move is 1/3.

(iv) The initial futures price is 80.

(v) The continuously compounded risk-free interest rate is 5%.

Let C_I be the price of a 1-year 85-strike European call option on the futures contract, and CII be the price of an otherwise identical American call option.

Determine C_II − C_I.

(A) 0

(B) 0.022

(C) 0.044

(D) 0.066

(E) 0.088