The Gunners are said to be scouting the Dane, who only moved to Hacken this season from FC Utrecht.
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"I let my agents work on it, I don't know much," Andersen told Expressen. "If that's true, I would be happy."
Andersen is aware of the transfer rumours swirling around him.
"I know there is a lot of interest, so now people can act if they want. We'll see," he added.