The traditional way to build a volatility surface is to pull options data and then do some form of interpolation. What happens if there is no existing options market and only a spot market for asset X?
You could compute realized volatilities from the spot price, add a premium and then get your IV that way. As for the skew and smile, I guess you could assume it follows a similar shape to correlated assets that do have options markets?
Curious if there is any literature on this.