Stein Bagger, CEO of Danish software and services company IT Factory, had not been seen since he disappeared Nov. 27 while on vacation with his wife and daughter in Dubai in the United Arab Emirates.

On Saturday morning he walked into a police station in downtown Los Angeles and said, "I am Stein Bagger. I'm a fugitive from Europe and I'm here to turn myself in," according to a in The Los Angeles Times.

Police were initially skeptical but took him more seriously after noticing his Armani suit and $65,000 Rolex wrist watch, the paper said. He was turned over to federal authorities Saturday night and held at the Metropolitan Detention Center.

Bagger told police he landed in New York from Dubai on Nov. 28, borrowed a friend's credit card and Audi sports car and drove to Los Angeles. On Saturday morning he typed "police" into the car's navigation system and turned himself in at the first police department that showed up on the list, the L.A. Times said.

It's the latest twist in a drama that has made national headlines in Denmark over the past week.