If the SOQL query finds a match in the bulk of records processed but there is no opportunity having StageName equal to Closed – Lost the boolean variable processOpportunity remains true forever causing a deadlock and resulting in an Apex CPU time limit exceeded.
'A' is Correct.

I think the answer is D.
We can only perform deletion after trigger or better yet pass it into async process.
I believe Option A is wrong since it can exit the while loop after all records has been processed inside the nested for loop.