The second option is the toughest for the first tenant, but probably the cleanest.
There can be a problem if the situation deteriorates and one person doesn't want to pay the rent nor do anything to help the other two sub tenants. It ends up with a bad situation and all 3 being jointly responsible. The landlords prefer this option as they then have 3 possibilities of getting their rental.
If there is one tenant he has the law on his side over the two sub tenants.
So the best for you all would be one rental contract with the landlord, and copies of the two sub contracts given to him.
Don't forget that with "Swiss Caution" you do not need to leave any deposit money,
http://www.swisscaution.ch/en/home