We　propose　a　new　framework　for　pricing　exchange　options,　modeling　two　underlying　assets　of　no　liquidity　issues　with　Heston　stochastic　volatility　models　adjusted　for　regime-switching　long-run　variance　levels　to　capture　economic　cycles.　Market　liquidity,　a　stochastic　factor　affecting　asset　prices,　is　incorporated,　leading　to　a　discount　in　asset　values.　We　then　apply　a　regime-switching　Esscher　transform　to　establish　a　risk-neutral　measure　and　analytically　solve　the　partial　differential　equation　for　exchange　option　prices　using　dimension　reduction　and　the　Feynman-Kac　theorem.　This　allows　for　numerical　analysis　of　the　market　features＇　impact　on　exchange　option　prices.