In this talk I relax separately two assumptions regarding the Variance Gamma (VG) process and price options accordingly. In the case of the Difference of Gammas model a better fit to market data is achieved than that achieved by other comparable models. In the case of the long range dependent VG model, the current `skew-correcting’ approach to pricing options is found to have shortcomings, and a number of model characteristics are identified (flexible skewness, dependence of squared returns, accommodation of the leverage effect) which appear to be important in achieving a good fit to market data.