  Model risk measures consequences of choosing a model in a class of possible
alternatives. We find analytical and simulated bounds for payoff functions on
classes of plausible alternatives of a given discrete model. We measure the
impact of choosing a risk-neutral measure on convex derivative pricing in
incomplete markets. We find analytical bounds for prices of European and
American options in the class of all risk-neutral measures, and we also find
simulated bounds for given classes of perturbations of the minimal martingale
equivalent measure.
