Step 1: Lay out the situation.
A closed pipe of length $L_c$ and an open pipe of length $L_o$ hold gases of densities $\rho_1$ and $\rho_2$. The gases have the same compressibility, so the same bulk modulus $B$. Both pipes sound their first overtone at the same frequency. We want $L_o$.
Step 2: Write each first overtone.
For a closed pipe the first overtone is the third harmonic: $f_c = \dfrac{3v_1}{4L_c}$. For an open pipe the first overtone is the second harmonic: $f_o = \dfrac{v_2}{L_o}$.
Step 3: Speed of sound in each gas.
Sound speed is $v = \sqrt{\dfrac{B}{\rho}}$. With the same $B$, $v_1 = \sqrt{\dfrac{B}{\rho_1}}$ and $v_2 = \sqrt{\dfrac{B}{\rho_2}}$.
Step 4: Match the frequencies.
Set $f_c = f_o$: $\dfrac{3v_1}{4L_c} = \dfrac{v_2}{L_o}$.
Step 5: Solve for $L_o$.
Rearranging, $L_o = \dfrac{4L_c}{3}\cdot\dfrac{v_2}{v_1}$. The speed ratio is $\dfrac{v_2}{v_1} = \sqrt{\dfrac{\rho_1}{\rho_2}}$.
Step 6: Write the result.
So $L_o = \dfrac{4L_c}{3}\sqrt{\dfrac{\rho_1}{\rho_2}}$, which is option (A).
\[ \boxed{L_o = \frac{4L_c}{3}\sqrt{\frac{\rho_1}{\rho_2}}} \]