Explanation:

- In 1862, the Indian High Courts Act established the High Courts of Calcutta, Bombay, and Madras.

- Option 1: Madras is correct. The High Court of Madras was one of the three chartered high courts created.

- Option 2: Delhi did not have a High Court established in that year. The Delhi High Court was established much later in 1966.

- Option 3: Gwalior did not have a High Court established in 1862. High Courts were initially set up in Presidency towns.

- Option 4: Jhansi was not among the cities where a High Court was established in 1862.