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FAIR VALUE MEASUREMENT
 9 Months Ended
Sep. 30, 2024
Investments, All Other Investments [Abstract]  
FAIR VALUE MEASUREMENT

NOTE 6 – FAIR VALUE MEASUREMENT

 

On February 8, 2024, in connection with the Warrant Exercise and Issuance, the Company estimated the aggregate fair value of the Existing Warrants (see Note 4 - Stockholders’ Equity for details) to be $1,115,334 using the Black-Scholes option pricing model (Level 3 inputs). The following table shows the detail of the valuation assumptions used:

 

   February 8, 2024 
Risk free interest rate   4.20 - 4.28% 
Expected term (years)   2.75 - 2.76 
Expected volatility   102% 
Expected dividends   0.00% 

 

On February 8, 2024, the Company estimated the aggregate issuance date fair value of the warrant liability related to the New Warrants (see Note 4 - Stockholders’ Equity for details) as $2,189,420 using the Black-Scholes option pricing model (Level 3 inputs).

 

The following table shows the detail of the valuation assumptions used:

 

   February 8, 2024 
Risk free interest rate   4.12% 
Expected term (years)   5.00 
Expected volatility   101% 
Expected dividends   0.00% 

 

 

On September 30, 2024, the Company estimated the aggregate fair value of warrants that are accounted for as warrant liabilities to be $3,455,505 using the Black-Scholes option price model (Level 3 inputs) and, accordingly, recognized a loss on the change in fair value of these warrant liabilities of $837,466 during the nine months ended September 30, 2024. The following table shows the detail of the valuation assumptions used:

 

   September 30, 2024 
Risk free interest rate   3.58%-3.64% 
Expected term (years)   2.11 - 4.36 
Expected volatility   99% - 109% 
Expected dividends   0.00% 

 

The following table sets forth a summary of the changes in the fair value of Level 3 liabilities that are measured at fair value on a recurring basis during the nine months ended September 30, 2024:

 

Balance, January 1, 2024 (as restated)  $1,543,953 
Issuance of warrants   2,189,420 
Exercise of warrants   (1,115,334)
Change in fair value of warrant liability   837,466 
Balance, September 30, 2024  $3,455,505 

 

Assets and liabilities measured at fair value on a recurring basis are as follows:

  

   Fair value measurements at reporting date using: 
   Quoted prices in active markets for identical liabilities (Level 1)   Significant other observable inputs (Level 2)   Significant unobservable inputs (Level 3)   Total Fair Value 
Assets:                    
Marketable securities as of September 30, 2024  $11,598,417   $-   $-   $11,598,417 
Marketable securities as of December 31, 2023  $10,181,618   $-   $-   $10,181,618 
                     
Liabilities:                    
Warrant liabilities as of September 30, 2024  $-   $-   $3,455,505   $3,455,505 
Warrant liabilities as of December 31, 2023 (as restated)  $-   $-   $1,543,953   $1,543,953