Suppose the current stock price is $100. The continuously compounded interest rate is 4%. Assume that 1 year down the road, the stock price will be either $140 or $60. No other possibilities (I know this is an extreme assumption). There are no dividend payments.

Please compute the delta and fair value of (i) a 1-year call option on the stock with a strike price of $110; (ii) a 1-year put option on the stock with a strike price of $90.