We present a comparison of various computational approaches aiming at predicting the binding free energy in ligand-protein systems where the ligand is located within a highly hydrophobic cavity. The relative binding free energy between similar ligands is obtained by means of the thermodynamic integration (TI) method and compared to experimental data obtained through isothermal titration calorimetry measurements. The absolute free energy of binding prediction was obtained on a similar system (a pyrazine derivative bound to a lipocalin) by TI, potential of mean force (PMF) and also by means of the MMPBSA protocols. Although the TI protocol performs poorly either with an explicit or an implicit solvation scheme, the PMF calculation using an implicit solvation scheme leads to encouraging results, with a prediction of the binding affinity being 2 kcal mol(-1) lower than the experimental value. The use of an implicit solvation scheme appears to be well suited for the study of such hydrophobic systems, due to the lack of water molecules within the binding site.