"It's a decisive game and hopefully the first final for us," said Olsen on Monday.
The two sides are level on three points in Group E, but the Danes need a victory to overcome Japan's better goal difference.
"We know what to do," said Olsen. "That is the name of the game. On Thursday we will be confident."
Olsen said it would be tough to beat Japan who have shown tenacious defending against Cameroon and the Dutch.
"It is difficult to score goals nowadays when you play defensive teams," he said, citing Italy's 1-1 draw with New Zealand and Switzerland's shock 1-0 defeat of Spain.
His image of Japan had changed. "Japan have a good group of players who are fighting for their country. They are proud to play for Japan," Olsen said. "They have a good coach who has a good knowledge of football."