While decision theories have evolved over the past five decades, their focus has largely been on choices among a limited number of discrete options, even though many real-world situations have a continuous-option space. Recently, theories have attempted to address decisions with continuous-option spaces, and several computational models have been proposed within the sequential sampling framework to explain how we make a decision in continuous-option space. This article aims to review the main attempts to understand decisions on continuous-option spaces, give an overview of applications of these types of decisions, and present puzzles to be addressed by future developments.