The numerical method for Greeks calculation includes finite difference, pathwise, and likelihood ratio.
In this implementation, the finite difference method is used 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 is called once to calculate the option price.