Answer: The third option, "closely", is an adverb.
Explanation: An adverb is something that describes a verb, and they can tell us how, when, where, how much, and how often. Therefore, "closely" is an adverb because it is describing how you would do something.
(ex. "He studied the footprints closely." Closely is the adverb in this sentence because it is describing how he studied the footprints)