Persia was located between the Middle East and

Great Britain.

Central Asia.

Africa.

Russia.

Between the Middle East and Central Asia.

Ancient Persia, which is often known as an enemy to the Greek states through the Greeco-Persian wars, was to be found on the area of modern day Iran (but extended much more and covered an area that is more vast than modern day Iran). Therefore, the other answers would be incorrect. Great Britain is way to far, Russia and Africa are closer but still not close enough.