Are there any new treatment options for anorgasmy?

Yes but "off label": There is no FDA approved treatment. There is literature to suggest that cabergoline 0.5 mg twice a week is helpful. You also want to make sure your testosterone and estrogen levels are normal. Before you do any of this, look at your meds. Most likely source is a side effect of medicine, classically the SSRI's (Prozac (fluoxetine) and others in it's class).