[jQuery] newbee: select field and go to link in value

[johnny]

I have a select field.  It has values that are links.  These links are
dynamically generated.  As soon as the value is selected, user should
go to the page.
Is there a way to do this in jquery?

select field:
<select name="option" >
                                                                        <option 
value ='http://www.site.com/help/'>Help</option>
                                                                        <option 
value ='http://www.site.com/contact/'>Contact</
option>
                                                                        
</select>