I would say that it's not correct. "At the cost of" normally indicates what one loses. (In your sentence, you don't lose the physical book by buying the e-books; you just lose some money that could instead have been used to buy a physical book.) And what's more, "at the cost of" is usually figurative, rather than denoting an actual purchase or exchange; for example, "He achieved his goal, but at the cost of his health" means that his health suffered as a result of his pursuit of his goal.
Instead, you can either say "for the price of" or (as skullpatrol suggests) you can use the word same: "for the same price as", "for the same cost as", "at the same cost as", etc. (Personally, I still find price preferable, but cost is quite correct.)
(The preposition at can also be used with price, but in this case it would make it sound like there is a specific price for a set of three e-books. To use at with price, you would need to rework the sentence a bit: "You can buy an e-book at [or for] one-third the price of a paper book.")