Right now, I assume that derivative of value function at boundary is zero. But it does not have to be. The method works for any value of the derivative at the boundary (because it is enough to pinpoint value of function outside the grid).
In other words, I should allow users to input their own conditions about derivative at boundary. Would be useful for investment problem of firm in Bolton, Chen, Wang.
Right now, I assume that derivative of value function at boundary is zero. But it does not have to be. The method works for any value of the derivative at the boundary (because it is enough to pinpoint value of function outside the grid).
In other words, I should allow users to input their own conditions about derivative at boundary. Would be useful for investment problem of firm in Bolton, Chen, Wang.
Something like a OrderedDict or a tuple