There are some white label exchanges around the internet which offers a good exchange script. Although I would say that it would be much more expensive to create one than just having your coin listed on an existing one.

I would imagine you would have to spend a lot on advertising and marketing to have people deposit into your exchange even if you don't really pay for the script since usually white label scripts goes for a profit sharing kind of deal. You will also have to spend a lot on server hosting as a simple small one would likely not suffice. Probably operations will also be expensive as you need people to maintain your website, support system, etc.

Some of the white label bitcoins exchange scripts I was able to find on google:

https://bitexchange.systems/
https://www.ibinex.com/
https://www.cryptonext.net/

Take note though, I do not endorse any of them nor do have any experience using them. As I just got them from a google search, I cannot vouch for their effectiveness, truthfulness, or any other aspect. Probably someone experienced could reply here, but I doubt anyone successful in creating a bitcoin exchange would have the time to even come on the forum.