  In this paper we present a simple, but new, approximation methodology for
pricing a call option in a Black \& Scholes market characterized by stochastic
interest rates. The method, based on a straightforward Gaussian moment matching
technique applied to a conditional Black \& Scholes formula, is quite general
and it applies to various models, whether affine or not. To check its accuracy
and computational time, we implement it for the CIR interest rate model
correlated with the underlying, using the Monte Carlo simulations as a
benchmark. The method's performance turns out to be quite remarkable, even when
compared with analogous results obtained by the affine approximation technique
presented in Grzelak and Oosterlee (2011) and by the expansion formula
introduced in Kim and Kunimoto (1999), as we show in the last section.
