Note: For all problems where a risk-free rate or a dividend yield is given, assume that the interest rate and the dividend yield are annual and continuously compounded rates.

A futures price is currently 60 and its volatility is 25%. The risk-free interest rate is 10% per year.

Use a two-step binomial tree to calculate the value of a six-month European call option on the futures with a strike price of 60.

If the call were American, would it ever be worth exercising it early? Explain the answers with the appropriate calculations.