When we replicate a portfolio of cash and stock for a call option, shouldn't the replicating portfolio's greeks be equal to options greeks?
Is that true? If it is, how is it that a portfolio of cash and stock has same vega as the option, since the vega of stock and cash is 0. What am I missing here?
Do the weights on cash and stock change in such a way with time such as to mimic the greeks, but at any single point the greeks of the portfolio aren't equal to options?