<> The grammar is correct. It states that, you have not been to Europe, but, it implies you may go in the future (yet). For example: "Son, have you washed your face?" No papa, not yet, I will do it soon.." The boy tells his father that he has not washed his face (yet), but he is going to do it later.
<> The grammar is not correct. It should be "I have never been to Europe". It is a statement and 'yet' is not required.