Juan Gris, a Spanish painter and sculptor whose work is associated with the artistic movement known as Cubism, [used a palette of colors more vivid than Pablo Picasso.]
answer: E. more vivid than that of Pablo Picasso
other choices: a) more vivid than Pablo b) that was more vivid than Pablo c) that is more vivid as Pablo d) being more vivid than Pablo
Would you explain me why E is correct?

This is a comparison question. You cannot compare Gris’s palette of colors to Pablo Picasso the person. You have to compare Gris’s palette to Picasso’s palette, or Gris to Picasso. You see?

E is correct because the “that of” stands in the place of “the palette of,” so the comparison works. Click the link in the last paragraph for more about comparisons.