Below is one implementation.Kindly check whether it is helpful.
Declaring a column.
array(
'name'=>'student_id',
//Take care of single and double quotes...
'value'=>'CHtml::dropDownList("student","",CHtml::listData(Student::model()->findAll(),"id","name"),array("id"=>$data->id,"class"=>"drop"))',
'type'=>'raw'
),