The correct answer is A. New Delhi.
The Securities and Exchange Board of India (SEBI) is the regulator of the Indian securities market. It was established in 1992 by the Government of India to protect the interests of investors in the securities market and to promote the development of the market.
The administrative head office of SEBI is located in New Delhi. The headquarters is responsible for the overall management and administration of the organization. It also houses the various departments and offices that are responsible for carrying out the functions of SEBI.
The other options are incorrect. Mumbai is the financial capital of India and is home to the Bombay Stock Exchange (BSE). Kolkata is the capital of West Bengal and is home to the National Stock Exchange of India (NSE). Chennai is the capital of Tamil Nadu and is home to the Chennai Stock Exchange (CSE).