Derivative Financial Instruments - Warrants (Tables) - Black Scholes Option Pricing Method

3 Months Ended

Mar. 31, 2020

Schedule of Assumptions Used to Determine the Fair Value of the Warrants

The range of assumptions and weighted averages used to determine the fair value of the warrants valued using the Black-Scholes option pricing model during the periods indicated were:



	Three Months Ended March 31,
	2020		2019
Range:
Estimated fair value of Trovagene common stock	$1.01 - $1.24		$3.15 - $3.75
Expected warrant term	2.8 - 3.1 years		3.8 - 4.1 years
Risk-free interest rate	0.28 - 1.61%		2.22 - 2.49%
Expected volatility of Trovagene common stock	111 - 112%		102 - 105%
Dividend yield	0	%	0	%

Weighted Average⁽¹⁾⁽²⁾:
Fair value of Trovagene common stock	$1.01
Expected warrant term	2.8 years
Risk-free interest rate	0.28	%
Expected volatility of Trovagene common stock	112	%
Dividend yield	0	%

(1) Weighted average is only disclosed for periods after January 1, 2020 under the adoption of ASU 2018-13.

(2) The weighted average was calculated using the relative fair value method.

Schedule of Components of Changes in the Company’s Derivative Financial Instruments Liability Balance

The following table sets forth the components of changes in the Company’s derivative financial instruments—warrants liability balance, valued using the Black-Scholes option pricing method, for the periods indicated.



Date	Description	Number of Warrants	Derivative Instrument Liability
December 31, 2019	Balance of derivative financial instruments—warrants liability	64,496	$	4,127
	Change in fair value of derivative financial instruments—warrants during the period recognized as a gain in the condensed statements of operations	—	(2,107		)
March 31, 2020	Balance of derivative financial instruments—warrants liability	64,496	$	2,020