Schedule of carrying value and fair value of financial assets and liabilities measured at fair value on a recurring basis |
The following table provides the carrying value and fair value of certain financial assets and liabilities of the Company measured at fair value on a recurring basis as of September 30, 2024 and December 31, 2023: | | | | | | | | | | | | | | | | | | Fair Value Measurement at | | | | | | September 30, 2024 | | | Carrying Value | | Level 1 | | Level 2 | | Level 3 | Assets: | | | | | | | | | | | | | Cash equivalents | | $ | 485,308 | | $ | 485,308 | | $ | — | | $ | — | Total assets measured and recorded at fair value | | $ | 485,308 | | $ | 485,308 | | $ | — | | $ | — | Liabilities: | | | | | | | | | | | | | Derivative liability | | $ | 442,500 | | $ | — | | $ | — | | $ | 442,500 | Warrant liability | | | 1,464,000 | | | — | | | — | | | 1,464,000 | Total liabilities measured and recorded at fair value | | $ | 1,906,500 | | $ | — | | $ | — | | $ | 1,906,500 |
| | | | | | | | | | | | | | | | | | Fair Value Measurement at | | | | | | December 31, 2023 | | | Carrying Value | | Level 1 | | Level 2 | | Level 3 | Assets: | | | | | | | | | | | | | Cash equivalents | | $ | 5,136,677 | | $ | 5,136,677 | | $ | — | | $ | — | Total assets measured and recorded at fair value | | $ | 5,136,677 | | $ | 5,136,677 | | $ | — | | $ | — | Liabilities: | | | | | | | | | | | | | Warrant liability | | $ | 13,680,000 | | $ | — | | $ | — | | $ | 13,680,000 | Total liabilities measured and recorded at fair value | | $ | 13,680,000 | | $ | — | | $ | — | | $ | 13,680,000 |
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Schedule of quantitative information regarding Level 3 fair value measurements inputs |
The following tables provide quantitative information regarding Level 3 fair value measurements inputs as of their respective measurement dates. The table for the period ending September 30, 2024 presents inputs used under a Black-Scholes option-pricing model. The table for the period ending December 31, 2023 presents inputs used under a Monte Carlo simulation model: | | | | | | | September 30, 2024 | | Exercise price | | $ | 9.00 | | Closing stock price | | $ | 8.06 | | Number of warrants | | | 308,333 | | Volatility | | | 80 | % | Term (time to expiration in years) | | | 4.09 | | Risk-free rate | | | 3.6 | % | | | | | | | | | | | | | December 31, 2023 | | Exercise price | | $ | 9.00 | | Closing stock price | | $ | 18.70 | | Number of warrants | | | 1,200,000 | | Phase 3 data probability of success | | | 60 | % | Volatility | | | 55 | % | Term (time to expiration in years) | | | 4.84 | | Redemption hurdle price | | $ | 14.25 | | Risk-free rate | | | 3.9 | % |
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Schedule of quantitative information regarding Level 3 fair value measurements inputs |
The following table provides quantitative information regarding fair value measurements inputs used with respect to the ELOC derivative liability, as of their respective measurement dates: | | | | | | | | | | September 30, 2024 | | April 25, 2024 | | Closing stock price | | $ | 8.06 | | $ | 13.60 | | Volatility | | | 125 | % | | 110 | % | Term (time to expiration in years) | | | 2.40 | | | 2.80 | | Risk-free rate | | | 3.6 | % | | 4.8 | % |
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