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Derivative Liabilities | 12 Months Ended
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Dec. 31, 2023
Derivative Liabilities |
Derivative Liabilities | 13. Derivative Liabilities The Company has identified derivative instruments arising from the conversion shares discussed in the Convertible Notes section of Note 7 as of December 31, 2023 and 2022. The Company utilizes a Monte Carlo simulation model for commitment shares that have an option to convert at a variable number of shares to compute the fair value of the derivative and to mark to market the fair value of the derivative at each balance sheet date. The inputs utilized in the application of the Monte Carlo model included a starting stock price of $7.91 per share, an expected remaining term of each warrant as of the valuation date, estimated volatility of 70%, drift, and a risk-free rate ranging from 3.46% to 5.47%. Risk-free interest rate: The Company uses the risk-free interest rate of a U.S. Treasury Note adjusted to be on a continuous return basis to align with the Black-Scholes option-pricing model. Dividend yield: The Company uses a 0% expected dividend yield as the Company has not paid dividends to date and does not anticipate declaring dividends in the near future. Volatility: The Company calculates the expected volatility based on comparable company’s historical stock prices with a look back period commensurate with the period to maturity. Expected term: The Company’s remaining term is based on the remaining contractual maturity of the warrants. The following are the changes in the warrant liabilities during the years ended December 31, 2023 and 2022. Schedule of Changes in Derivative Liabilities
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |
Derivative liabilities as of January 1, 2022 |  | $ | — |  |  | $ | — |  |  | $ | — |
Addition |  |  | — |  |  |  | — |  |  |  | 2,449,689 |
Changes in fair value of Derivative liabilities |  |  | — |  |  |  | — |  |  |  | (713,989 | )
Derivative liabilities as of December 31, 2022 |  |  | — |  |  |  | — |  |  |  | 1,735,700 |
Addition |  |  | — |  |  |  | — |  |  |  | 2,375,378 |
Changes in fair value of Derivative liabilities |  |  | — |  |  |  | — |  |  |  | (198,551 | )
Extinguishment of Derivative liabilities |  |  | — |  |  |  | — |  |  |  | (3,912,527 | )
Derivative liabilities as of December 31, 2023 |  | $ | — |  |  | $ | — |  |  | $ | — |
Neuraxis, Inc. Notes to Financial Statements

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- Definition The entire disclosure for derivatives and fair value of assets and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 820 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//820/tableOfContent + Details
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