Gnuplot has extended capability to write the mathematical symbols in enhanced postscript (.eps) files. You just have to write "{/Symbol a}" to get "α" or "{/Symbol r}" for getting "ρ".
Apart from these simple symbols, Gnuplot can even write extensive mathematics symbols in postscript format. For that all you need to have is the font
files saved somewhere in your computer and add the filename/fontpath in your gnuplot script.
The font files can downloaded from this link of CTAN site. Download The whole package if you want
. Untar it (tar -xvzf filename.tar.bz for eaxample) and it's done. Now, while specifying the terminal as postscript, add this line
set term postscript color enhanced fontfile add "/path to the folder amsfonts/pfb/style_file.pfb"
, where this style_file.pfb is the file of your choice. A helpful document showing the use of the style files can be found
in this document.
A simple example is test.gn and its output test.eps.
N.B.: If the package amsfonts is not available at the above mentioned site, you can write to me also.