The elements used to convey a theme are the plot, the characters, the style, and the setting because THEME, in a piece of literature, reflects what the story is about. Is it about love? Is it about war or melancholy? etc.
Plot is a chain of events that happen in the story. Style is the way in which the author tells the story and the literary strategies he resorts to. Setting is time and place where the events occur.
Hence, all the options are correct.