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In this paper we present a simple, but new, approximation methodology forpricing a call option in a Black \& Scholes market characterized by stochasticinterest rates. The method, based on a straightforward Gaussian moment matchingtechnique applied to a conditional Black \& Scholes formula, is quite generaland it applies to various models, whether affine or not. To check its accuracyand computational time, we implement it for the CIR interest rate modelcorrelated with the underlying, using the Monte Carlo simulations as abenchmark. The method's performance turns out to be quite remarkable, even whencompared with analogous results obtained by the affine approximation techniquepresented in Grzelak and Oosterlee (2011) and by the expansion formulaintroduced in Kim and Kunimoto (1999), as we show in the last section.

A moment matching method for option pricing under stochastic interest rates