I'm implementing an options analytics platform - with sparse market data going out a few months. Mostly equities and fx options. Building a fixed maturity curve like the one on quikstrike by bantix is proving harder than I originally thought. Any ideas on what local vol models can be used to produce a Smooth arbitrage free vol curve?

I have looked at derman kani trees but the output has a lot of vol spikes as expected. Do cubic splines really work? Any other recommendations like Andreasen Huge or Lipton Sepp? Interested in learning from the experience of others on this platform.

Please do let me know if I'm missing something here.

Many thanks jj


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