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Common Stock Warrants (Tables)
3 Months Ended
Mar. 31, 2022
Equity [Abstract]  
Summary of Estimated Fair Value of Warrants and Significant Assumptions

The warrants were valued using the Black-Scholes option pricing model. The estimated fair value of the warrants and the significant assumptions used were as follows:

 

Common Stock Warrants

 

March 31,

 

 

 

2022

 

Fair value

 

$

22.00

 

Volatility

 

 

85.12

%

Expected term (years)

 

 

2.91

 

Risk free rate

 

 

2.45

%

Dividend yield

 

 

7.00

%