In this thesis, we focus on study how information affects the pricing and utility of options. We first give an introduction in Chapter 1. In Chapter 2, we give the definition for full information and calculate the European call option price under full information by using martingale pricing method. In Chapter 3, we give the definition for partial information and calculate the European call option price under partial information by using martingale pricing method and solving forwardbackward stochastic differential equation method, and we show that the option price of these two cases are same. Thus, in order to evaluate the value of information, in Chapter 4, we consider to compare the utility of these two cases in some equality which proposed by Brendle, and hence calculate the loss of utility.