  We generalise the so-called Bismut-Elworthy-Li formula to a class of
stochastic differential equations whose coefficients might depend on the law of
the solution. We give some examples of where this formula can be applied to in
the context of finance and the computation of Greeks and provide with a simple
but rather illustrative simulation experiment showing that the use of the
Bismut-Elworthy-Li formula, also known as Malliavin method, is more efficient
compared to the finite difference method.
