Season egg yolk with salt and stir until creamy. Add the oil first in drops, then in a thin stream, stirring constantly. Stir in mustard and season to taste with pepper and lemon juice. Cut the gherkin into fine cubes.
Cook the egg in boiling water for 10 minutes, quench and peel. Leave to cool and chop finely. Wash parsley, dab dry and remove leaves. Chop parsley leaves finely. Wash chives and shake dry.
Cut into small rolls. Fold the cucumber, egg, parsley and chives into the mayonnaise.