This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the integration-by-parts formula, which lies at the core of the theory of variational stochastic calculus, as developed in the Malliavin...

This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the {\it integration-by-parts} formula, which lies at the core of the theory of variational stochastic calculus, as developed in the...