Quarterly report pursuant to Section 13 or 15(d)

Warrant Liability (Tables)

v3.23.3
Warrant Liability (Tables)
9 Months Ended
Sep. 30, 2023
Short-Term Debt [Line Items]  
Schedule of Derivative Liabilities Assumptions

Stock price   $ $0.35 - $0.85  
Risk-free interest rate     3.62% - 3.99 %
Expected volatility     120.81% - 123.61 %
Expected life (in years)     5.3
Expected dividend yield     -  
2023 Warrants [Member]  
Short-Term Debt [Line Items]  
Schedule of Derivative Liabilities Assumptions

The warrant liabilities for the Common Warrants and the Placement Agents Warrants were valued using a Binomial pricing model with the following weighted average assumptions:

 

 

Common Warrants and Placement

Agents Warrants

 
  September 30, 2023     At Inception  
    (Unaudited)     (Unaudited)  
Stock price   $ 0.24     $ 1.20  
Risk-free interest rate     4.6 %     3.60 %
Expected volatility     119.7 %     121.5 %
Expected life (in years)     4.5       5.0  
Expected dividend yield     -       -  
Fair value of warrants (in thousands)   $ 1,053     $ 5,831  
2020 Warrants [Member]  
Short-Term Debt [Line Items]  
Schedule of Derivative Liabilities Assumptions

The warrant liabilities for the 2020 Warrants were valued using a Binomial pricing model with the following assumptions:

 

    September 30,     December 31,  
    2023     2022  
    (Unaudited)        
Stock price   $ 0.24     $ 0.89  
Risk-free interest rate     4.95 %     4.22 %
Expected volatility     89 %     109 %
Expected life (in years)     1.8       2.6  
Expected dividend yield     -       -  
                 
Fair value of warrants   $ 2     $ 19