The two ways of relating what a person has said are 1)direct and 2)indirect (reported speech).In direct speech, the original speaker's exact words are repeated. In indirect/reported speech, the exact meaning is expressed but not necessarily using the original speaker's exact words. Pronouns and possessive adjectives usually change from first or second person to the third person except when the speaker is reporting his own words. Sometimes a noun can be inserted to avoid doubt.

When we turn direct questions and exclamations into indirect speech, they are converted to affirmative statement .( ? and ! is not used).

Option A is correct as you is changed to they and that is added.

 The other options are wrong as had, could , and are going can't be used.

The correct answer is A)The teacher told the students that they must study hard for the test on comprehension.