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Warrant Liability (Tables)
12 Months Ended
Dec. 31, 2022
Warrants and Rights Note Disclosure [Abstract]  
Summary of Fair Value of Warrant Liabilities

The fair value of the warrant liabilities was measured using the Monte Carlo pricing model. Significant inputs into the model as of June 28, 2021 are as follows:

 


Monte Carlo Assumptions

 

June 28, 2021

 

 

 

 

 

 

 

Exercise price

 

$

0.39

 

 

Warrant expiration date

 

May 4, 2023

 

 

Stock price

 

$

2.03

 

 

Interest rate (annual) (1)

 

 

0.22

%

 

Volatility (annual) (2)

 

 

74.7

%

 

Remaining term (years)

 

 

1.85

 

 

Annualized dividend yield (3)

 

 

0

%