Final answer:
In MySQL, when working with a cursor, you must also declare a Handler which is used to manage specific states or conditions that may occur during cursor operations.
Step-by-step explanation:
When working with a MySQL cursor, you must also declare a Handler. Handlers are declared within the same block as the cursor and are used to specify conditions or specific states such as NOT FOUND, which will occur during cursor operations. Without declaring a handler, your program may not respond correctly to certain conditions or errors that arise when the cursor is fetching data in a loop. This differs from options like index, trigger, and transaction, which serve other purposes within the MySQL realm.