If your ball is lost anywhere outside of a water hazard, or is out of bounds, and you have not played a provisional ball……….
You must proceed under penalty of stroke and distance
This means that the player must play a ball, under penalty of one stroke, as nearly as possible at the spot from which the original ball was last played (Rule 20-5). Despite what some golfers may tell you, there is no other option. In particular, it is not permitted to drop a ball close to where the ball went out of bounds, or where it was thought to be lost for a penalty of two strokes. Anyone who does so, will incur the penalty of disqualification, from the competition in a stroke competition, or from the hole in stableford or par competitions.
Note also, that at anytime, anywhere on the course, a player may, under penalty of one stroke, play a ball as nearly as possible at the spot from which the original ball was last played, i.e. proceed under penalty of stroke and distance. The consequence of this is that if you do not fancy your next stroke (e.g. in deep undergrowth, under the lip of a bunker, or behind a large immovable obstruction on the line of play) and the other two options under Rule 28, Ball Unplayable, do not provide you with a favourable dropping location, then you may choose this option of taking the penalty of stroke and distance.