Correct option is A
Given:
· Six students are sitting around a circular table facing the centre.
· Red is sitting fourth to the right of White.
· Blue is sitting second to the right of Gray.
· Black is sitting third to the right of Pink.
· White is the immediate neighbour of Gray and Black.
According to the given information, we get final arrangement:

So, Blue is the immediate neighbour of Red and Pink.
Thus, option A is correct.