  We discuss various analytic and numerical methods that have been used to get
option prices within a framework of the VG model. We show that some popular
methods, for instance, Carr-Madan's FFT method could blow up for certain values
of the model parameters even for an European vanilla option. Alternative
methods - one originally proposed by Lewis, and Black-Scholes-wise method are
considered that seem to work fine for any value of the VG parameters. Test
examples are given to demonstrate efficiency of these methods. Convergency of
all methods is also discussed.}
