Select the correct indirect form of the given sentence.
He said to me, “What a pity! You missed the party.”

Correct option is C

The correct indirect form of the sentence is "He exclaimed that it was a pity I had missed the party."
Direct speech- Direct speech, also known as quoted speech or direct quotation, is a way of reporting someone's exact words.
Indirect speech- Indirect speech, also known as reported speech or indirect quotation, is a way of reporting someone's words or thoughts indirectly, without using their exact words.
Conversion rules:
· When the reporting verb of direct speech is in past tense then all the present tenses are changed to the corresponding past tense in indirect speech. 
· The  first person in direct speech  changes as per the subject of the speech.
· The  second person of direct speech  changes as per the object of reporting speech.
· The  third person of direct speech  doesn’t change.
· Indirect Speech is supported by some verbs like requested, ordered, suggested and advised. Forbid-forbade is used for negative sentences. Therefore,  the imperative mood in the direct speech changes into the Infinitive in indirect speech.
This maintains the exclamatory nature of the sentence while changing it to reported speech.