The correct answer is (a) |a|<|z|<|b|
To explain I would say: We know that,
ROC of z-transform of a^nu(n) is |z|>|a|.
ROC of z-transform of b^nu(-n-1) is |z|<|b|.
By combining both the ROC’s we get the ROC of z-transform of the signal x(n) as |a|<|z|<|b|.