I'd start with a drill. Make sure you are as close to the centre as you can get. Put a deep center punch mark on it. Hit it with the center punch maybe 50 times, not too hard. Drill a hole about a 1/4 of the thread size. Try to get as much heat into it as you can with the drill. Try an easy out if you have one, or turn it over and drill it from the inside, with a drill about 1/2 of the diameter of the screw, using slow speed and a fair bit of pressure. If it hasn't come out already Just keep drill slightly bigger holes until you just break though the wall of the screw. Then get a fine punch and gently collapse the remainder into the hole.