In this paper, we propose a new key exchange protocol which authenticates each other and shares a session key between a user and a server over an insecure channel using only a small password. The security of the protocol is based on the difficulty of solving the discrete logarithm problem and the Diffie-Hellman problem and the cryptographic strength of hash function. The protocol is secure against the man-in-the-middle attack, the password guessing attack, the Denning-Sacco attack, and the stolen-verifier attack, and provide the perfect forward secrecy. Furthermore, it is more efficient than other well-known protocols in terms of protocol execution time because it could be executed in parallel and has a simple structure.