v3.26.3
Fair Value of Financial Instruments (Tables)
12 Months Ended
Dec. 31, 2025
Fair Value of Financial Instruments [Abstract]  
Schedule of Fair Value of the Conversion Features of the Convertible Note And Forward Purchase Agreement

The following table represents the weighted average inputs used in calculating the fair value of the conversion features of the convertible notes on the date of issuance and December 31, 2024:

 

 

   December 31,
2024
   Issuance
Date
 
           
Term, in years   2.92    3 
Expected volatility   83.2%   82.40%
Risk-free interest rate   4.27%   4.25%
Expected dividend yield   
—
%   
—
%

The Company estimated the fair value of the derivative liability as of December 31, 2025, and each respective issuance date using a Monte-Carlo simulation model, and the following key assumptions:

 

   December 31,
2025
   Issuance
Dates
 
         
Term, in years   0.83-2.08    1.48-3.01 
Expected volatility   115.5%   81.40-102.4%
Risk-free interest rate   3.42-3.46%   3.79-4.18%
Expected dividend yield   
—
%   
—
%
Continuous discount rate   14.27-14.48%   8.84-14.62%
Discount rate   3.42-14.48%   4.18-14.56%
Discount factor   0.89-0.97    0.68-0.94 

The following table represents the weighted average inputs used in calculating the fair value of the prepaid forward contract and the Maturity Consideration as of November 15, 2024, the date of settlement, and December 31, 2023:

 

   November 15,
2024
   December 31,
2023
 
           
Stock price  $1.00   $2.03 
Term (in years)   2.00    2.88 
Expected volatility   75.0%   40.7%
Risk-free interest rate   4.22%   3.96%
Expected dividend yield   
—
%   
—
%
Schedule of Embedded Conversion Options

The following table represent the activity related to the embedded conversion options during the year ended December 31, 2025:

 

Derivative liability as of December 31, 2024  $
-
 
Value of derivative upon exchange on 2025 Convertible Notes   1,605,939 
Value of derivative upon issuance of White Lion Notes   171,561 
Value of derivative settled upon conversion of notes   (3,440,412)
Change in fair value of derivative liability   2,070,278 
Derivative liability as of December 31, 2025  $407,366