What are the differences among initialize(), constructor and early options?

Hi,
Sorry if the title is confusing, but looking at the documentation I got wondering. How are they different?

PHP Code:

class UserModel extends UserAuthModel
{
    /**
    * Called during initialization. Appends
    * our custom field to the module's model.
    */
    protected function initialize()
    {
        $this->allowedFields[] = 'middlename';
    }
} 


PHP Code:

class UserModel extends UserAuthModel
{
    protected $allowedFields = 'middlename';
} 


PHP Code:

class UserModel extends UserAuthModel
{
    public function __construct()
    {
        $this->allowedFields[] = 'middlename';
    }
} 


Don't they all execute the code first thing when the class is initiated?
Thanks