Fair Value Measurement (Tables)
|
3 Months Ended |
9 Months Ended |
Dec. 31, 2024 |
Sep. 30, 2025 |
| Fair Value Measurement [Abstract] |
|
|
| Schedule of Black-Scholes Option Pricing Model for Liability-Classified Stock Purchase Warrants |
The assumptions used for the Black-Scholes option
pricing model for liability-classified stock purchase warrants are as follows:
| June 2024 Warrants | |
December 31,
2024 | | |
November
2024
Modification | |
| Expected term (years) | |
| 4.4 years | | |
| 4.6 years | |
| Risk-free interest rate | |
| 4.4 | % | |
| 4.4 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| November 2024 Warrants | |
December 31,
2024 | | |
November
2024
Issuance | |
| Expected term (years) | |
| 4.9 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 4.2 | % | |
| 4.2 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Pre-funded Warrants | |
December 31,
2024 | | |
December
2024
Issuance | |
| Expected term (years) | |
| 5.0 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 4.3 | % | |
| 4.3 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| December 2024 Warrants | |
December 31,
2024 | | |
December
2024
Issuance | |
| Expected term (years) | |
| 5.0 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 4.3 | % | |
| 4.3 | % |
| Expected volatility | |
| 114.2 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Probability of a fundamental event | |
| 10.0 | % | |
| 10.0 | % |
| Embedded Derivative Liability | |
December 31,
2024 | | |
December
2024
Issuance | |
| Expected term (years) | |
| 0.9 years | | |
| 1.0 years | |
| Risk-free interest rate | |
| 4.2 | % | |
| 4.3 | % |
| Expected volatility | |
| 156.2 | % | |
| 157.5 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Conversion discount | |
| 10.0 | % | |
| 10.0 | % |
| Interest rate | |
| 10.0 | % | |
| 10.0 | % |
| Redemption premium | |
$ | 50,000 | | |
$ | 50,000 | |
|
The assumptions used for the Black-Scholes option
pricing model for liability-classified stock purchase warrants are as follows:
| June 2024 Warrants | |
September 30,
2025 | | |
November 2024
Modification | |
| Expected term (years) | |
| 3.7 years | | |
| 4.6 years | |
| Risk-free interest rate | |
| 3.74 | % | |
| 4.4 | % |
| Expected volatility | |
| 110.0 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| November 2024 Warrants | |
September 30,
2025 | | |
November 2024
Issuance | |
| Expected term (years) | |
| 4.1 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 3.74 | % | |
| 4.2 | % |
| Expected volatility | |
| 110.0 | % | |
| 113.8 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
The assumptions used for the Monte Carlo simulation
model for liability-classified stock purchase warrants are as follows:
| August 2025 Warrants | |
September 30,
2025 | | |
August
2025
Issuance | |
| Expected term (years) | |
| 4.9 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 3.73 | % | |
| 3.65 | % |
| Expected volatility | |
| 108.3 | % | |
| 110.1 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Probability of a fundamental event | |
| 10.0 | % | |
| 10.0 | % |
| September 2025 Private Placement Warrants | |
September 30,
2025 | | |
September 2025
Issuance | |
| Expected term (years) | |
| 4.9 years | | |
| 5.0 years | |
| Risk-free interest rate | |
| 3.74 | % | |
| 3.65 | % |
| Expected volatility | |
| 158.4 | % | |
| 156.9 | % |
| Expected dividend yield | |
| 0.0 | % | |
| 0.0 | % |
| Probability of a fundamental event | |
| 10.0 | % | |
| 10.0 | % |
|
| Schedule of Company’s Assets and Liabilities Measured and Recorded at Fair Value on a Recurring Basis |
The following table sets forth by level, within
the fair value hierarchy, the Company’s assets and liabilities measured and recorded at fair value on a recurring basis as of December
31, 2024:
| |
|
Quoted
Price in
Active Markets |
|
|
Significant
Other
Observable
Inputs |
|
|
Significant
Unobservable
Inputs |
|
|
Balance at
December 31, |
|
| |
|
(Level 1) |
|
|
(Level 2) |
|
|
(Level 3) |
|
|
2024 |
|
| Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
| June 2024 Warrant |
|
|
— |
|
|
|
— |
|
|
|
5,333,794 |
|
|
|
5,333,794 |
|
| November 2024 Warrant |
|
|
— |
|
|
|
— |
|
|
|
12,467,515 |
|
|
|
12,467,515 |
|
| Pre-funded warrant liabilities |
|
|
— |
|
|
|
— |
|
|
|
52,682,426 |
|
|
|
52,682,426 |
|
| Private Placement Warrants |
|
|
— |
|
|
|
— |
|
|
|
94,286,790 |
|
|
|
94,286,790 |
|
| Embedded derivative liability |
|
|
— |
|
|
|
— |
|
|
|
847,753 |
|
|
|
847,753 |
|
| Total liabilities |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
165,618,278 |
|
|
$ |
165,618,278 |
|
|
The following table sets forth by level, within
the fair value hierarchy, the Company’s assets and liabilities measured and recorded at fair value on a recurring basis as of September
30, 2025:
| | |
Quoted
Price in
Active Markets | | |
Significant
Other
Observable
Inputs | | |
Significant
Unobservable
Inputs | | |
Balance at
September 30, | |
| | |
(Level 1) | | |
(Level 2) | | |
(Level 3) | | |
2025 | |
| Liabilities | |
| | |
| | |
| | |
| |
| June 2024 Warrant | |
| — | | |
| — | | |
| 914,583 | | |
| 914,583 | |
| November 2024 Warrant | |
| — | | |
| — | | |
| 2,133,949 | | |
| 2,133,949 | |
| August 2025 Warrant | |
| — | | |
| — | | |
| 2,210,729 | | |
| 2,210,729 | |
| Private Placement Warrants | |
| — | | |
| — | | |
| 35,480,932 | | |
| 35,480,932 | |
| Embedded derivative liability | |
| — | | |
| — | | |
| — | | |
| — |
| Total liabilities | |
$ | — | | |
$ | — | | |
$ | 40,740,193 | | |
$ | 40,740,193 | |
|
| Schedule of Warrants Measured at Fair Value Using Level 3 Inputs |
The following table provides a reconciliation
of the warrants measured at fair value using Level 3 inputs:
| | |
Embedded
Derivative
Liability | | |
June
2024
Warrant | | |
November
2024
Warrant | | |
Pre-funded
Warrant | | |
Common
Stock
Warrant | |
| | |
| | |
| | |
| | |
| | |
| |
| Balance at October 1, 2024 | |
$ | — | | |
$ | — | | |
$ | — | | |
$ | — | | |
$ | — | |
| Additions | |
| 222,865 | | |
| 283,293 | | |
| 663,408 | | |
| 5,085,682 | | |
| 18,153,362 | |
| Change in fair value | |
| 624,888 | | |
| 5,050,501 | | |
| 11,804,107 | | |
| 47,596,744 | | |
| 76,133,428 | |
| Ending balance, December 31, 2024 | |
$ | 847,753 | | |
$ | 5,333,794 | | |
$ | 12,467,515 | | |
$ | 52,682,426 | | |
$ | 94,286,790 | |
|
The following table provides a reconciliation
of the warrants measured at fair value using Level 3 inputs:
| | |
Embedded
Derivative | | |
June 2024 | | |
November 2024 | | |
Pre-funded | | |
Common
Stock | | |
August 2025 | | |
September 2025 | |
| | |
Liability | | |
Warrant | | |
Warrant | | |
Warrant | | |
Warrant | | |
Warrant | | |
Warrant | |
| | |
| | |
| | |
| | |
| | |
| | |
| | |
| |
| Balance at January 1, 2025 | |
$ | 847,753 | | |
$ | 5,333,794 | | |
$ | 12,467,515 | | |
$ | 52,682,426 | | |
$ | 94,286,790 | | |
$ | - | | |
$ | - | |
| Additions | |
| - | | |
| - | | |
| - | | |
| - | | |
| - | | |
| 1,672,686 | | |
| 29,605,956 | |
| Subtractions | |
| (259,963 | ) | |
| - | | |
| - | | |
| (12,421,864 | ) | |
| (19,517,415 | ) | |
| - | | |
| - | |
| Change in fair value | |
| (587,790 | ) | |
| (4,419,211 | ) | |
| (10,333,566 | ) | |
| (40,260,562 | ) | |
| (74,769,375 | ) | |
| 538,043 | | |
| 5,874,976 | |
| Ending balance, September 30, 2025 | |
$ | - | | |
$ | 914,583 | | |
$ | 2,133,949 | | |
$ | - | | |
$ | - | | |
$ | 2,210,729 | | |
$ | 35,480,932 | |
|