# Tag Info

Let's $p_0$ be the initial stock price, $q$ be the risk free probability of $p_0$ ends up at $p_1$, assuming risk free rate is 0 then $$p_0 = q p_1 + (1-q) p_2$$ so $$q = \frac{(p_0 - p_2)}{(p_1-p_2)}$$. So the exotic price after one step is $$q \sqrt{p_1} + (1-q) \sqrt{p_2}$$.