I need the cheapest option for a weather station with a GSM (mobilephone) modem.

Check out the Ecowitt WH6006E.
http://www.ecowitt.com/weather_station/6.html

That said it is a 3G cellular modem device and some carriers like Verizon and AT&T will be shutting down 3G service in the next couple years. Ecowitt has said that they are working on developing a 4G version but that may not be out for a year or more. No ETA on this. You would most likely be able to upgrade the modem when it becomes available… no guarantees.