Position a rack in the center of the oven and heat the oven to 350°F.
Put the pecans on a small rimmed baking sheet and toast until fragrant and pale golden on the cut sides, 6 to 8 minutes. Let cool completely.
Pat the steaks dry and season with 1 tsp. salt and 1/2 tsp. pepper. Heat a 10-inch ovenproof, heavy-duty skillet (preferably cast iron; don’t use a nonstick skillet) over medium-high heat for 2 minutes. Add the oil and swirl the skillet to coat. Add the steaks and cook, flipping once with tongs, until well browned on both sides, 6 to 7 minutes total. Transfer the skillet to the oven and cook the steaks until an instant-read thermometer registers 125°F for medium rare, 5 to 6 minutes.
Meanwhile, in a small bowl, mash together the cheese and butter with a fork and then stir in the pecans.
Remove the skillet from the oven and top the steaks with the Roquefort butter. Let the steaks rest in the pan, loosely covered with foil, for 5 minutes. Serve sprinkled with the parsley leaves.