In that case, buy a ticket to LHR (there is a 12 month max stay) and then get a second ticket on SK to CPH. Just make sure that you leave enough time (say two or three hours) between the two flights to make sure that you have some cushion time. This is probably the cheapest option as well.
You studying at the CPH Business School or the Uni? Both are fabulous campuses (and some days, wish I did my international exchange there!!!)