Control volume directly on Blu-Ray player?

I am a newbie here and apologize in advance if I'm not using all the correct terminology but here is my question...

I decided to switch from a standard DVD player to a Blu-Ray one, and just bought a Sony BDP-S590. On my old, standard (non-Blu-Ray) Oppo DVD player I was able to directly control the volume of the player with the Oppo remote. I need to do it this way because I am running the audio through an "old-school" receiver that doesn't have a remote. (I know this isn't the best but I've been happy with this setup.) Upon hooking up the Sony I discovered that the Sony remote can't control the Sony player directly...it is only designed to control the volume on the TV. And, after looking around online a bit I'm seeing that this seems to be a limitation with other players.

So...does anyone know of a good, reasonably-priced Blu-Ray player which will have a remote that can control the volume on the player? Or, even better, can anyone suggest a work-around for this issue?

Thanks in advance for your help.

I was wondering about that, but was thinking that no remote can control the volume of the player because of the player's design. But you're saying the limitation is with the remote, not the player?

Correct...my receiver doesn't have volume control by remote.

Correct...my receiver doesn't have a remote...not because I lost it but because it never had it.

Thanks mdavej. If there are no reasonably priced options I'll just deal with not being to control the volume from the couch. Maybe I'll be healthier from the exercise!