Noopur - can you share a little more information about what you're selling?
Ecommerce Site: there are lots of tools and services to let you create a site without a huge amount of difficulty. You have to drive the traffic to it for people to see your product or service. Minimal cost for the infrastructure but there's obviously a cost to drive traffic.
3rd Party Marketplace: you're taking advantage of traffic the marketplace is driving. You'll pay some fee to the marketplace for that traffic. Usually the marketplace will have the tools/services to create your presence.
Your Own Marketplace: not sure if you really mean creating a new marketplace from scratch. Attracting others to sell similar or related offerings? The challenge here is the balance of buyers and sellers. If you don't have enough sellers/products, buyers won't see the value. If you don't have enough buyers, sellers won't see the value. And you're back to having to drive the traffic.
Many businesses will have a standalone ecommerce site but still have a presence in a marketplace that is relevant to their business.
Don't know if that helps but maybe a little more detail about what you're selling might help everyone give feedback. Good luck whatever route you take.