The correct option is A You must hurry, or you will miss the train.
A Complex sentence consists of one Main clause and one or more subordinate clause.
Compound sentences are made up of two or more Principal or Main Clauses.
They are generally formed using coordinating conjunctions like and, or, for, so, but, yet etc.
Option A is correct: "Or" can join two clauses as alternatives. In the given complex sentence, the subject has the option of getting late or missing the train. Hence, it is apt to use "or" to bring out this choice between these two actions.
Option B is incorrect: "And" joins two clauses without showing them as alternatives. Hence, it is incorrect.
Option C is incorrect: "But" shows that the given two clauses contrast with each other. Hence, it is incorrect.
Option D is incorrect: Since, option A is the correct answer, hence option D is invalid.