You can't emigrate to another continent within 2 weeks of the character creation. Once the time has passed, you can emigrate to other continents from port cities - cities bordering rivers and oceans.
It will cost you at least 50 gold. Also, you will suffer minor penalties in honour and prestige.
There are other penalties as well. You can't take your men with you. You will lose all the bonds and lose a good portion (don't remember accurately but I believe it is somewhere between 70-80%?) gold.
