We investigate the extension of the multilevel Monte Carlo method [2, 3] to the calculation of Greeks. The pathwise sensitivity analysis [5] differentiates the path evolution and effectively reduces the smoothness of the payoff. This leads to new challenges: the use of naive algorithms is often impossible because of the inapplicability of pathwise sensitivities to discontinuous payoffs. These challenges can be addressed in three different ways: payoff smoothing using conditional expectations...