Fair Value Measurements |
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Jun. 30, 2017 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fair Value Disclosures [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||
| Fair Value Measurements |
8. Fair Value Measurements Our financial instruments consist of cash, accounts payable, accrued liabilities, and warrant liability. We do not believe that we are exposed to significant interest, currency, or credit risks arising from these financial instruments. The fair values of the warrants approximates their carrying values using Level 3 inputs. Gains and losses recognized on changes in fair value of the warrants are reported in other income (expense). Our warrant valuation was measured at fair value by applying the Black-Scholes option valuation model, which utilizes Level 3 inputs. The assumptions used in the Black-Scholes option re-valuation for the September 2016 warrants at June 30, 2017 are as follows: dividend yield – 0%; risk-free interest rate - 1.89%; expected life – 4.25 years; volatility 173.552%. The assumptions used for the March 2017 warrants at June 30, 2017 are as follows: dividend yield – 0%; risk-free interest rate - 1.89%; expected life – 5.25 years; volatility 182.574%. The following summarizes the Company's financial liabilities that are measured at fair value on a recurring basis at June 30, 2017.
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