As far as Christians and Muslims are concerned, there is no dilemma, they are religious, not ethnic groups. Different ethnic groups around the world are Christian or Muslim religion. Regarding the Arabs, this term is bound exclusively for ethnic origin. The fact is that Islam came from the Arabs and that all Arabs are predominantly Muslims, but the term Arabian means the name of the people, the ethnic group, and not the religion. Here's the only trick with the Jews. They are known as the ethnic group, whose religion is Judaism. However, Jews belong to a group of Semitic nations, as an ethnic origin, and the name Jewis has to do with religion. Evidence for this is the existence of the so-called Arab Jews, who have language and customs very similar to Arabic, but Jewish religion, they serve their liturgy in the Hebrew language, so that the term Jewish can be linked with religion.
The answer is A)