v3.26.1
Derivative and Warrant liabilities (Tables)
 3 Months Ended
Mar. 31, 2026
Derivative and Warrant liabilities [Abstract]  
Schedule of Estimated Fair Values of the Liabilities Measured on a Recurring Basis

As of March 31, 2026, for the convertible notes, the estimated fair values of the liabilities measured on a recurring basis were based on the following Black Scholes inputs:

 

   March 31,  December 31,
   2026  2025
Expected conversion price(1)  $6.63 - $8.48  $3.84 - $7.65
Expected term  0.05 - 0.50 years  0.25 - 0.35 years
Expected average volatility  100% - 266%  288% - 297%
Expected dividend yield 
-
 
-
Risk-free interest rate  3.72% - 3.74%  3.63% - 3.67%
Expected IPO price  $7.00 - $9.00  $7.00 - $9.00
Expected common stock price(1)  $8.98  $5.20

 

(1)On March 31, 2026 and December 31, 2025, the company is estimating a reverse stock split of 1:100 and 1:200, respectively.

As of initial date and March 31, 2026, for the warrant, the estimated fair values of the liability measured on a recurring basis were based on the following Monte Carlo inputs:

 

   Initial  March 31,
   Date  2026
Expected conversion price(1)  Variable up to $6.00  Variable up to $12.00
Expected term to qualified offering date  0.23 years  0.21 – 4.85 years
Expected average volatility  105% - 110%  115% - 140%
Expected dividend yield 
-
 
-
Risk-free interest rate  3.64% - 3.71%  3.68% - 3.87%
Expected common stock price(1)  $6.00  $8.98
Probability of qualified offering event  80%  90%

 

(1)On initial date (February 5, 2026) and March 31, 2026, the company is estimating a reverse stock split of 1:100 and 1:200, respectively.
Schedule of Changes in Derivative Liabilities and Warrant Liabilities

The following table summarizes the changes in the derivative liabilities during the three months ended March 31, 2026 (no derivative liability during the three months ended March 31, 2025):

 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
     
Balance - December 31, 2025  $535,459 
(Gain) on change in fair value of the derivative   (46,585)
Balance - March 31, 2026  $488,874 

The following table summarizes the changes in the warrant liability during the three months ended March 31, 2026 (no derivative liability during the three months ended March 31, 2025):

 

Fair Value Measurements Using Significant Unobservable Inputs (Level 3)
     
Balance - December 31, 2025  $
-
 
Addition of new derivatives recognized as debt discount - warrant   126,000 
Loss on change in fair value of the derivative   25,000 
Balance - March 31, 2026  $151,000