The correct option is
C He has lost his key.
The present perfect tense is used to describe something that happened in the past, but the exact time it happened is not important. It has a relationship with the present.
Have/has + past participle makes the present perfect.
In this sentence, it is already given that we would be using present perfect tense. Now since, the whole sentence is in the third person, we would be using "has" and not "have".
("have" is used in case of first and second person framed sentences.)
so the sentence comes as, "He has"
Now, for the past participle, it the form of a verb, typically ending in -ed in English, which is used in forming perfect and passive tenses and sometimes as an adjective. In this case the past becomes, "lost"
For option A, C and D, the past forms are not there, they are wrong.
The phrase becomes, "lost his key"
Thus, the whole sentence is "He has lost his key"
Option B is correct