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CONVERTIBLE NOTES (Tables)
9 Months Ended
Sep. 30, 2021
Notes 2021 and 2024  
Schedule of liability component based on income approach

The Company prepared a valuation of the fair value of the 2024 Notes and 2021 Notes (a Level 3 valuation) as of August 25, 2021. The value was estimated by implementing the binomial model. The liability component was valued based on the Income Approach. The following parameters were used:

    

2021 Notes

2024 Notes

Stock price (USD)

 

1.34

1.34

Expected term

 

0.23

3.03

Risk free rate

 

0.05

%

0.44

%

Volatility

 

78.95

%

91.35

%

Yield

 

7.87

%

7.66

%