Denmark, Iceland, Norway, Sweden and Finland together are called:

The group of five northern European countries — Denmark, Iceland, Norway, Sweden and Finland — is commonly referred to as Scandinavia. (In the strict sense Scandinavia means Denmark, Norway and Sweden, and all five together are the Nordic countries; however, in broad, popular usage Scandinavia is widely used for the whole group.)

Netherlands lies in Western Europe and is unrelated to this group. Eurasia is the single large landmass formed by Europe and Asia together. Australia is a continent and country in the Southern Hemisphere. Hence, among the given options, the correct collective name is Scandinavia.