  Valuation and parity formulas for both European-style and American-style
exchange options are presented in a general financial model allowing for jumps,
possibility of default and "bubbles" in asset prices. The formulas are given
via expectations of auxiliary probabilities using the change-of-numeraire
technique. Extensive discussion is provided regarding the way that folklore
results such as Merton's no-early-exercise theorem and traditional parity
relations have to be altered in this more versatile framework.
