Darius

With names from antiquity, do whatever you want to it and glare at anyone who tries to correct you. Latin as tought in English-speaking countries for example sounds atrocious to anyone else.

Since European tradition knows of him mostly through the Greeks, his name is often transcribed as Dareios which would be similar to the second option you gave. Persians today would probably lean more towards Daryoush.
 
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