Somehow a simple

doesn’t work since wordpress.com server strips it out. What you have to do instead, is use single quotes (‘…’).

Isn’t this stupid? Took me a while to figure out. People suggested all sort of things like javascript in the footer.php section, plugins, etc. But all those things are for the self-hosted wordpress.org, not for wordpress.com.

WordPress – why is this so complicated?

Mentioned here too: URL Links in Image captions

NB: Also see this: HTML Ignore