STOCKHOLDERS EQUITY (DEFICIT) - Vallon - 10-K (Tables)

9 Months Ended

Sep. 30, 2023

Equity [Line Items]

Schedule of the Fair Value of the Warrants

The Black-Scholes valuation model was used to estimate the fair value of the warrants with the following weighted-average assumptions:

	September 30, 2023		December 31, 2022
Volatility	167.7	%	139.9	%
Expected term in years	2.5		2.5
Dividend rate	0.0	%	0.0	%
Risk-free interest rate	4.92	%	4.32	%

The Black-Scholes option-pricing model was used to estimate the fair value of the Equity Warrants, the Exchange Warrants and the Advisor Warrants with the following weighted-average assumptions:

Volatility	167.6	%
Expected term in years	1.69
Dividend rate	0.0	%
Risk-free interest rate	4.37	%

Schedule of Warrants Outstanding to Purchase Common Stock

As of September 30, 2023, the Company had the following warrants outstanding to purchase common stock.

Number of Shares	Exercise Price per Share	Expiration Date
1,231	$243.32	November 2023
204	$243.32	December 2023
163,185	$103.18	June 2025
542	$2,100.00	February 2026
3,524	$197.05	May 2027
167	$0.01	July 2027
342	$429.73	April 2028
60,228	$103.11	60 months after registration date
181,316	$94.57	60 months after registration date
116,353	$85.96	24 months after registration date

Vallon Pharmaceuticals, Inc.

Equity [Line Items]

Schedule of the Fair Value of the Warrants

The Black-Scholes valuation model was used to estimate the fair value of the warrants with the following weighted-average assumptions:

	(Initial Measurement)
	May 17, 2022		December 31, 2022
Volatility	130.8	%	133.3	%
Expected term in years	2.5		2.5
Dividend rate	0.0	%	0.0	%
Risk-free interest rate	2.665	%	4.240	%

The Black-Scholes option-pricing model was used to estimate the fair value of the warrants with the following weighted-average assumptions:

Volatility	85.0	%
Expected term in years	2.5
Dividend rate	0.0	%
Risk-free interest rate	0.155	%

Schedule of Warrants Outstanding to Purchase Common Stock

As of December 31, 2022, the Company had the following warrants outstanding to purchase common stock.

Number of Shares	Exercise Price per Share	Expiration Date
3,758	$300.00	February 12, 2026
24,666	$28.146	May 17, 2027