Before modern transport, people likely stayed in the same region for most of their lives so they usually named their nations & surrounding nations but never their continents. When Europe was named by the Greeks, they most likely meant the places in Europe that the Greeks & Romans had mapped which was around the Mediterranean not necessarily northern Europe. It was only much later on that the term Europe came to refer the whole modern-day continent of Europe.
The name "Asia" has a similar origin. Asia was originally just the middle east & the Levant. It was given this name by the Greeks. Today, people reference the "near East" (Turkey & Lebanon), the Middle East (Arab states & Israel), south Asia (India & Bangladesh) & Far East Asia (China, Korea & Japan). All these regions likely had their own native names but ultimately fell under the uniform Greek name "Asia".
Africa comes from the Phoenician word Ifrīqiyyah. When the Romans conquered Carthage & the surrounding regions (i. e. Ifrīqiyyah), they Romanised it to "Africa". It later became the word for the whole continent & not just the Roman province of Africa. Arabs referred to Africa as Al-Kebulan (Al-Kiblan) i. e. "land of black people" or "land of ancients" & even then, they likely meant the region in north Africa they were in & not the entire expanse of the continent. The native black tribes of Africa never gave Africa a name & usually only named the regions that they lived in. European explorers even called Africa "Ethiopia" & west Africa "Guinea" due to not knowing who existed further than those lands. They realised much later on that we are not all Ethiopians & Guineans then often called us by our native names & gave the continent the name "Africa". It is only today that people are questioning what Africa means & there are movements to rename Africa in a process of decolonization.
America was named after Amerigo Vespucci, Australasia & Oceania are self-explanatory.
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