The following table summarizes the key assumptions used in estimating the fair value of the SARs on March 31, 2026 and December 31, 2025: | | | | | | | | | | | | | March 31, 2026 | | December 31, 2025 | | Expected term (years) | 1.08-2.96 | | 1.00-2.40 | | Risk-free interest rate | 3.75%-4.21% | | 3.64%-4.11% | | Stock price volatility | 80%-115% | | 65%-115% | | | | | | Probability (1) | 50%-50% | | 50%-50% | | Dividend rate | —% | | —% | | | | |
(1) Scenario probability was based on timing expectations of the Company that a corporate transaction occurring was estimated at 50%; and a corporate transaction not occurring at 50%. The following are the underlying assumptions used in the Black-Scholes option pricing model to determine the fair value of stock options granted to employees and to non-employees under this stock plan. The expected term of the options for the three months ended March 31, 2025 includes a grant to a non-employee consultant where the term of the option is five years compared to employee grants that are ten years: | | | | | | | | | | | | | Three Months Ended March 31, | | | 2026 | 2025 | | | Risk-free interest rate | 3.81% | 4.36% | | | Expected dividend yield | 0% | 0% | | | Expected volatility | 111.0% | 95.2% | | | Expected term of options (years) | 6.10 | 3.50 | |
The following table summarizes the key assumptions used in estimating the fair value of the SARs at March 31, 2026 and December 31, 2025:
| | | | | | | | | | | | | March 31, 2026 | | December 31, 2025 | | Expected term (years) | 1.08-2.96 | | 1.00-2.40 | | Risk-free interest rate | 3.75%-4.21% | | 3.64%-4.11% | | Stock price volatility | 80%-115% | | 65%-115% | | | | | | Probability (1) | 50%-50% | | 50%-50% | | Dividend rate | —% | | —% | | | | |
(1) Scenario probability was based on timing expectations of the Company that a corporate transaction occurring was estimated at 50%; and a corporate transaction not occurring at 50%.
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