Where to send if the link is incorrect?

Question

Search Engine Optimization

Where to send if the link is incorrect?
That is, a person (or a search engine) went to a link that does not exist (and did not exist), I have the following options:
redirect immediately to the main
page ... maybe you can read this and that ...
display the page "this page does not exist"

How would it be more correct?

Answer 1

lead nowhere, just give a page with a 404 error

Answer 2

Formally, you need to display 404. But. If it was a link from a trust site, and the page to which the link led is now missing for some reason, then:
1. you can create a page with content and return 200,
2. you can redirect 301 to the main or similar page, to keep the transferable weight.