The origins are disputed, but it has been called Africa for over a thousand years, absolutely.

From the internet: 'The origin of the name “Africa” is greatly disputed by scholars. Most believe it stems from words used by the Phoenicians, Greeks, and Romans. Important words include the Egyptian word Afru-ika, meaning “Motherland”; the Greek word aphrike, meaning “without cold”; and the Latin word aprica, meaning “sunny.”'