Your second approach won't even compile. You can not declare a function within a method in Java. Also either approach loops infinitely because you do not update option inside the loop.
Your first approach is better for various reasons.
- It is much easier to read.
- You should generally avoid recursion (its slower, uses more memory, usually harder to read).
- Using a switch statement has better performance than than a bunch of if-else's. Imagine you want the last option, a switch will branch directly to the correct case whereas an if-else will have to check every wrong condition on the way down.