How does one go about calculating the modified delta as proposed by Taleb in his book Dynamic hedging?
In his book he says its a change in the call price divided by a change in the underlying and provides the following example:
"If the call price picks up 0.05 points when the underlying asset moves from 100 to 100.1 then its delta will be 0.05/10 = 0.5."
How does he pick the price to change it at? Does he use the Black Scholes formula to calculate the the resulting option value when we change the price?