Where can I find a rigorous proof of the Dupire formula (for example, using using Gyöngy's theorem)? I imagine this would be covered by a paper or by a standard financial math text, but I could not find one. To save space, if such a reference of a rigorous derivation for the Dupire formula exists, posting the reference should suffice.
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$\begingroup$ youtube.com/watch?v=Z2Iz4Fg6UUg this might help. $\endgroup$ – Prabhnoor Duggal Jul 16 '20 at 18:04