Why Asian geometric average option no sensitivity?

[scchess]

Asian geometric average option is priced by an adjusted Black-Scholes because the underlying is a log-normal distributed. Thus, we should be able to output the greeks, such as, delta and gamma. However, this is not given in the OptionMatrix program. Do you think you can add those?

[AnthonyBradford]

I'll take a look.

[scchess]

Thanks. I was trying to price Asian options with your program the other day and noticed greeks were given by QuantLib but not OptionMatrix.