Note 8. Fair Value of Warrants

The Placement Agent Warrants and Private Placement Warrants were valued using Black Scholes models and Monte Carlo simulations to estimate the fair value of the warrants based on the possible settlement outcomes. For purposes of the Black Scholes models and Monte Carlo simulations, the Company estimated the likelihood of a fundamental transaction to be 15% as of May 14, 2026 (Date of Issuance) and June 30, 2026. A Black Scholes model and a Monte Carlo simulation were used in determining the fair value of the Placement Agent Warrants and Private Placement Warrants in the event of a fundamental transaction. The impact of this scenario was immaterial to the overall determination of fair value of the Placement Agent Warrants and Private Placement Warrants. Changes in the estimated likelihood and timing of a fundamental transaction in future periods could have a material impact on the future valuation of these warrants. The following tables summarize the assumptions used in computing the fair value of warrants subject to fair value accounting as of the date of issuance and as of June 30, 2026.

Schedule of Fair Value of Warrants