In a small bowl combine olive oil, herbs, garlic, salt and pepper.
If your butcher has not done so, trim prime rib roast of excess fat, leaving only 1/4-inch fat around it. If you want the bone to be revealed during the grilling process, trim 1-2 inches of fat from the bone, but leave the bone intact.
Place roast on a baking sheet and rub entire roast with herb mixture.
Let roast rest on the counter at room temperature for approximately 3 hours.
Heat the grill to 250ºF with indirect heat. If smoking the roast, add wood chips, as well.
Place the roast on the grill, fat side up. Cook until the internal temperature of the meat reaches 110ºF, approximately 3 hours.
Increase grill temperature to 400ºF and continue grilling until internal temperature reaches 125ºF for medium-rare, about 45 minutes.
Remove roast from the grill and let it rest 30 minutes before slicing.
While roast is cooking, prepare the horseradish cream. Combine ingredients and refrigerate until ready to use.
Slice roast and serve with horseradish cream.