Derivative Liability and Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule Of Assets And Liabilities Measured At Fair Value On A Recurring Basis

We measure certain financial instruments at fair value on a recurring basis. Assets and liabilities measured at fair value on a recurring basis are as follows at September 30, 2015:

	Total		Level 1		Level 2		Level 3
Warrant Liability		110,788		—		—		110,788
Total liabilities measured at fair value (Long-Term)	$	110,788	$	—	$	—	$	110,788

We measure certain financial instruments at fair value on a recurring basis. Assets and liabilities measured at fair value on a recurring basis are as follows at December 31, 2014:

	Total		Level 1		Level 2		Level 3
Note Conversion Feature Liability		2,806,942		—		—		2,806,942
Warrant Liability		10,734,196		—		—		10,734,196
Total liabilities measured at fair value (Long-Term)	$	13,541,138	$	—	$	—	$	13,541,138

Schedule of Fair Value Level 3 warrant liabilities

A summary of the various changes in the fair value of the derivative liability during the nine month period ended September 30, 2015 is as follows:

Fair value – December 31, 2014	$	13,541,138

Reclassification of warrant exercises to Additional Paid-in Capital		(2,855,463)
Change in fair value for the period of warrant derivative liability		968,467
Reclassification of embedded debt conversion price adjustment provision liability to Additional Paid-in Capital upon waiver of certain anti-dilutive provisions		(2,806,942)
Reclassification of warrant exercise price adjustment provision liability to Additional Paid-in Capital upon waiver of certain anti-dilutive provisions		(8,736,412)

Fair value – September 30, 2015	$	110,788

Fair Value Measurements, Recurring and Nonrecurring, Valuation Techniques

We used the Monte Carlo Options Lattice pricing model to estimate the fair value of the derivative liability outstanding as follows:

	September 30, 2015			December 31, 2014
Assumptions for Pricing Model:
Expected term in years		2.85			3.59 to 3.78
Volatility range for years		104	%		81 to 89	%
Risk-free interest rate		0.64	%		0.83 to 1.11	%
Expected annual dividends		None			None