Even though interest rates fluctuate randomly in the marketplace, many option-pricing models do not fully consider their stochastic nature owing to their generally limited impact on option prices. However, stochastic dynamics in stochastic interest rates may have a significant impact on option prices as we take account of issues of maturity, hedging, or stochastic volatility. In this paper, we derive a closed form solution for European options in Black-Scholes model with stochastic interest rate using Mellin transform techniques.
"Mellin Transform Method for European Option Pricing with Hull-White Stochastic Interest Rate." J. Appl. Math. 2014 1 - 7, 2014. https://doi.org/10.1155/2014/759562