Before revision:  This paper presents a simple and general method to compute the covariance matrix of the state though a matrix Lyapunov differential equation , and discusses its numerical and analytical solutions . The availability of an analytical solution paves the way to an efficient market calibration of model parameters .
After revision:  This paper presents a simple and general method to compute the covariance matrix of the state though a matrix Lyapunov differential equation , and discusses its numerical and analytical solutions for the variance of a two-factor mean-reverting model are embedded into the Black pricing framework and market calibration of model parameters .