The correct option is
A In brain
Pineal gland, known as epiphysis, is located on dorsal side of forebrain. It is a small, rounded, stalked and reddish brown gland that resembles a pine cone. It secretes melatonin and serotonin hormone. Melatonin regulates circadian rhythm of body, pigmentation, metabolism and defence capability. Serotonin acts as a neurotransmitter and regulates functions of many organs of body like memory, sleeping, learning etc.
So, the correct answer is 'In brain'.