Approximate pricing of European and Barrier claims in a local-stochastic   volatility setting
  We derive asymptotic expansions for the prices of a variety of European and barrier-style claims in a general local-stochastic volatility setting. Our method combines Taylor series expansions of the diffusion coefficients with an expansion in the correlation parameter between the underlying asset and volatility process. Rigorous accuracy results are provided for European-style claims. For barrier-style claims, we include several numerical examples to illustrate the accuracy and versatility of our approximations. 
Weston Barger, Matthew Lorig
q-fin.MF