The fine structure of the neutral exciton in a single self assembled InGaAs quantum dot is investigated under the effect of a lateral electric field. Stark shifts up to 1.5 meV, an increase in linewidth, and a decrease in photoluminescence intensity were observed due to the electric field. We show that the lateral electric field strongly affects the exciton fine structure splitting due to active manipulation of the single particle wave-functions. Remarkably, the splitting can be tuned over large values and through zero.