The authors thank Daniel Bartl, Julien Guyon, and Steven Vanduffel for fruitful comments and discussions that initiated this project and Stephan Eckstein and Michael Kupper for fruitful discussions during the work on these topics. A. Neufeld gratefully acknowledges the financial support by his Nanyang Assistant Professorship Grant (NAP Grant) Machine Learning based Algorithms in Finance and Insurance. A. Papapantoleon gratefully acknowledges the financial support from the Hellenic Foundation for Research and Innovation [Grant HFRI-FM17-2152].
