I don't disagree with Peachey, so you can also have a much simpler (which is what I would say): Iran has the Caspian Sea to the north and the Persian Gulf and the Gulf of Oman Sea to the south.

Not exactly. "Surrounded... by [sea/gulf]" makes me think that Iran is an island. You can use "bordered", and maybe you'll have to include the neighbouring countries as well. You also need an article for the names of the water masses, otherwise it sounds like an unmeasured amount of that particular body of water. "Iran is bordered by the Caspian Sea on the north and the Persian Gulf and the Gulf of Oman on the south." (We usually say "the Gulf of Oman" ahead of "the Sea of Oman"... technically, it's neither. It's a strait.)