Derivative Warrant Liability
|12 Months Ended|
Sep. 30, 2018
|Derivative Warrant Liability [Abstract]|
|DERIVATIVE WARRANT LIABILITY||
6. DERIVATIVE WARRANT LIABILITY
Derivative financial instruments are recognized as a liability on the consolidated balance sheet and measured at fair value.
The Company performed valuations of the warrants using a probability weighted Black-Scholes option pricing model which value was also compared to a Binomial Option Pricing Model for reasonableness. This model requires input of assumptions including the risk-free interest rates, volatility, expected life and dividend rates, and has also considered the likelihood of “down-round” financings. Selection of these inputs involves management’s judgment and may impact net income. Due to our limited operating history and limited number of sales of our common stock, we estimate our volatility based on a number of factors including the volatility of comparable publicly traded pharmaceutical companies. The volatility factor used in the Black-Scholes option pricing model has a significant effect on the resulting valuation of the derivative liabilities on our balance sheet.
The table below presents the changes in the derivative warrant liability for the years ended September 30, 2017 and 2016, which were measured at fair value on a recurring basis and classified as Level 3 in the fair value hierarchy (see Note 4). No warrants are classified as derivative warrant liabilities as of September 30, 2018 and 2017:
The entire disclosure for derivatives and fair value of assets and liabilities.
Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef