  In this paper, we derive closed-form formulas of first-order approximation
for down-and-out barrier and floating strike lookback put option prices under a
stochastic volatility model, by using an asymptotic approach. To find the
explicit closed-form formulas for the zero-order term and the first-order
correction term, we use Mellin transform. We also conduct a sensitivity
analysis on these formulas, and compare the option prices calculated by them
with those generated by Monte-Carlo simulation.
