The goal of key exchange protocol is to establish a common and secure session key using the interactive communications. The existing schemes are usually in the pattern of 'user-server-user', so are weak in reality. In this paper, a new three-party key exchange protocol based on Diffie-Hellman was proposed which contains the following characteristics: without server; providing key secrecy and forward secrecy; ensuring no key control; ensuring known-key secrecy.