While there are exceptions, there are really just two primary sizes of pick – the size you have, and the smaller (yes, smaller) Jazz picks that many of us prefer.
The exact way Papa shows is one of many ways, like Calvin says. I would encourage you to try to get used to a standard-size pick, rather than going for something bigger that may be difficult or expensive to find replacements for.
Personally, I could never hold it the way he does. I like to “choke up” on the pick a lot, and the Dunlop Jazz III size is perfect for me, even though I have big hands.