The correct answer is option 4, Oman. The naval exercise `Naseem-Al-Bahr` is a bilateral exercise conducted between India and Oman. This exercise aims to enhance cooperation and interoperability between the navies of both countries. By conducting joint exercises, the navies of India and Oman can improve their understanding of each other`s operational procedures, tactics, and equipment.

Option 1, United Arab Emirates, is incorrect as the naval exercise between India and the UAE is called `Gulf Star`. Option 2, Iran, is incorrect as there is no known naval exercise specifically conducted between India and Iran. Option 3, Saudi Arabia, is incorrect as there is no known naval exercise specifically conducted between India and Saudi Arabia.

It is important to note that while the given answer is generally correct, the possibility of other bilateral naval exercises in the future cannot be ruled out.