Step 1: Recognize the limit form.
We are given the limit:
\[
\lim_{x \to \infty} \left( 1 + \frac{a}{x} + \frac{b}{x^2} \right)^{2x} = e^2
\]
This is a standard limit form that resembles the limit definition of \( e \). The expression inside the limit looks like a binomial expansion of \( \left( 1 + \frac{1}{n} \right)^n \).
Step 2: Use the approximation for large \( x \).
For large values of \( x \), \( \frac{a}{x} \) and \( \frac{b}{x^2} \) become very small. So, we can approximate the expression as:
\[
\left( 1 + \frac{a}{x} + \frac{b}{x^2} \right)^{2x} \approx \left( 1 + \frac{a}{x} \right)^{2x}
\]
Step 3: Apply the binomial approximation.
We recognize that:
\[
\lim_{x \to \infty} \left( 1 + \frac{a}{x} \right)^{2x} = e^{2a}
\]
Thus, the limit becomes:
\[
e^{2a} = e^2
\]
Step 4: Solve for \( a \).
From \( e^{2a} = e^2 \), we find \( 2a = 2 \), so \( a = 1 \).
Step 5: Conclusion.
Thus, \( a = 1 \), and \( b \) can be any real number. Therefore, the correct answer is option (C), \( a = 1, b \in \mathbb{R} \).