No. You cannot do that. Option cannot contain any other elements other than text content.
You may instead want to look at some custom plugins, or create your own to render div/spans out of the select that you provide.
Permitted content Text with eventually escaped characters (like é).
Just one example using bootstrap‘s dropdown. You can customize and style it accordinf to your need.
Fiddle
Little bit of customization like this
$('.dropdown-menu li').click(function () {
$('.dropdown-toggle b').remove().appendTo($('.dropdown-toggle').text($(this).text()));
});