Grey question mark does not go away even after pressing and holding the option key.

I'm assuming you're referring to when you're trying to boot, right?

Try this boot into the Recovery volume (boot with the Command(⌘) + R keys held down), select Disk Utility and repair both the disk permissions and the disk. Reboot normally and see if that helped.

What system did you have prior to this occurring? If it wasn't Lion or later the Recovery boot won't work.

Follow the steps listed here A flashing question mark or globe appears when you start your Mac - Apple Support