We study the hedging of derivative whose price is periodically recalibrated in the presence of model risk. The pricing formula of the derivative includes the implied parameter which changes at the recalibration. We assume that the asset price and the implied parameter movements are represented by the mathematical model which is unknown to the investor. We suppose that there are multiple candidates for the true model and construct a model set of candidates for the true model. Based on the model set, we study the minimum hedging error and an optimal hedging strategy under the worst situation. Further we show how to calculate them numerically. Finally some numerical examples are provided to illustrate the impact of model risk on the optimal hedging.