Yeah, whatever you do, you'll need to grind/file it.
Or, you could try to JB-weld another screw to it, that might work too, but not likely.
I personally suggest flat file, then center punch, then small forward drill, then extractor.
If it's large enough, you could also try filing a slot into it with a cut-off wheel, then using a screwdriver. However, if it's in there tight enough that it broke off, a screwdriver will probably just strip the new slot out.
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