Hello Lapsi,Thank you very much for your answer. Sorry for the late reply I thought I would receive a notification on my e-mail adress if someone responded to one of my questions. Thank you!

<r>Hi Lapsi,I also have to price options (vanilla so far, my thesis aims to compare the replication portfolio for Variance swaps with the fair value of Var swaps) using time changed Levy processes. I already managed to write the matlab code to price an option under variance gamma using FFT in Matlab...

<t>Hello Vijay,I also have to price an option with fft (with underlying following VG process). My code looks like yours (see below), the prices I get seem reasonable but they don't match the B&S prices when theta=nu=0.Do you have an idea or can you send pls me your code so that I can compare?Man...