The general principle is that each question should receive a question mark (which suggests the 3rd option). And of course this would cause a conflict with another general principle in elegant writing, that multiple terminal punctuation should not be combined (therefore no double full stops, question marks, or combining a question mark with a full stop), and this suggests the first or second option. The first principle is roughly based on logic. The second is based on aesthetics.
The 'aesthetic' consideration also triumphs the 'logical consideration' in American style punctuation. (He called it "ridiculous.") It is not surprising therefore that American style guides would recommend the second option. My own feeling is the British style would go for the first option because punctuation outside quotation marks is common (He called it 'ridiculous'.)