Not On Grid

Key Not On Grid in Finite Differences refers to an optional number that equals the probability of the underying's value lying outside the space covered by the grid nodes.
If omitted, the default is 0.0002 (or 0.02%), which means that the grid covers only 99.98% of all possible underlying values (in probability sense) and leaves out 0.02% of them
The default value is good in most situations. A notable exception is options paying very big discrete dividends in which case a very small value may be needed here for satisfactory convergence.
This setting applies only with the method FdBlackScholesVanilla