The numerical method for Greeks calculation includes finite difference, pathwise and likelihood ratio.
In our implementation, we use the finite difference method to calculate Greeks. Finite difference methods use the following differential expression to approximate partition derivative.
\[\delta = \frac{X(t, S_t + h, r, \sigma) - X(t, S_t, r, \sigma)} {h}\]
When any of the parameter changes, MCEuropeanHestonEngine will be called once to calculate the option price.