Quote from the USGA official site states:
"27-1. Stroke and Distance; Ball Out of Bounds; Ball Not Found Within Five Minutes
a. Proceeding Under Stroke and Distance
At any time, 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 (see Rule 20-5), i.e., proceed under penalty of stroke and distance.
Except as otherwise provided in the Rules, if a player makes a stroke at a ball from the spot at which the original ball was last played, he is deemed to have proceeded under penalty of stroke and distance.
b. Ball Out of Bounds
If a ball is out of bounds, 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 (see Rule 20-5).
c. Ball Not Found Within Five Minutes
If a ball is lost as a result of not being found or identified as his by the player within five minutes after the player's Side or his or their caddies have begun to search for it, 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 (see Rule 20-5)."
When you have a "Lost Ball" you are not entitled to a drop. The penalty is stroke AND distance, as opposed to a ball in a hazard (water). In other words, take your medicine, aim somewhere else (somewhere safe) and continue on.