For a non-negative separable random field $Z(t), t\in \mathbb{R}^d$ satisfying some mild assumptions we show that \begin{eqnarray*} H_Z^δ= \lim_{T\to\infty} \frac{1}{T^d} E \{\sup_{ t\in [0,T]^d \cap δ\mathbb{Z}^d } Z(t) \} <\infty \end{eqnarray*} for $δ\ge 0$ where $0 \mathbb{Z}^d := \mathbb{R}^d$ and prove that $H_Z^0$ can be approximated by $H_Z^δ$ if $δ$ tends to 0. These results extend the classical findings for the Pickands constants $H_{Z}^δ$, defined for $Z(t)= \exp\left( \sqrt{ 2} B_α(t)- |t|^{2α}\right), t\in \mathbb{R}$ with $B_α$ a standard fractional Brownian motion with Hurst parameter $α\in (0,1]$. The continuity of $H_{Z}^δ$ at $δ=0$ is additionally shown for two particular extensions of Pickands constants.