Of the three, the best answer is "Yes, he is."
Since the question is "Do you think," a better-fitting answer would be "Yes, I do."
Here are some questions and matching answers.
"Does Santa exist?" "Yes, he does."
"Does Santa live at the North Pole?" "Yes, he does."
"Is Santa real?" "Yes, he is."
"Do you think Santa is real?" "Yes, I do."
"Do I look like Santa Claus?" "Yes, you do."