Company: SHPH
Filing Date: 2025-02-27
Form Type: 424B3
Source: 0001493152-25-008474
Chunk: 121

Company: Shuttle Pharmaceuticals Holdings, Inc.
Filing Date: 2025-02-27
Form: 424B3
Chunk 121
---
 issues securities at lower prices in the future.

The Company has determined the Acceleration Option in the Alto warrants is an embedded derivative within the host instrument and has bifurcated it from the host instrument and recorded it as a derivative liability valued at $1.4 million at inception, using a Monte Carlo simulation model. The Company determined its derivative liability from the noteholder’s Acceleration Option for the Alto Convertible Note is not clearly and closely related to the host and should thus be accounted for as a bifurcated derivative liability. As of December 31, 2024, the value of the Acceleration Option was $0 as the Alto Convertible Note was settled by September 30, 2024.

| F-24 |

The Company classifies these derivative liabilities as a Level 3 fair value measurement and used the Monte Carlo pricing model to calculate the fair value as of December 31, 2024 (less than $0.1 million) and December 31, 2023 ($0.4 million).

The key inputs for the Monte Carlo simulation* for the Alto and October 2024 Equity Financing warrants as of December 31, 2024, were as follows:

Schedule of Monte Carlo Simulation Assumption

| Annualized volatility       
 Risk-free interest rate     |     |   | 57.50% - 97.14% 
    4.25 – 4.38% |    |
|:----------------------------|:----|:--|----------------:|:---|
| Quoted VWAP                 |     | $ |            0.82 |    |
| Exercise price              |     | $ |            0.48 
          – 1.40 |    |
| Probability assessments (1) |     |   |       10% - 40% |    |
| Illiquidity discount        |     |   |             (26 | )% |
| Time period (years)         |     |   |     2.03 - 4.84 |    |

| (1) |     | Probability                                                                                     
 assessments include the probabilities that subsequent successful capital raises (in terms       
 of amounts raised and timing) are not executed and the probability that the securities issuable 
 under the convertible bridge notes are not timely registered.                                   |

| * |     | Based on a Monte Carlo                   
 simulation analysis of 50,000 iterations |

The key inputs for the Monte Carlo simulation for the Alto warrants as of December 31, 2023,