fraid so, drill it and possibly use a screw extractor, used to be called "easy outs"

http://cgi.ebay.co.uk/Brand-New-5-Pi...3A1|240%3A1318


thats what you could try using, the only problem with drilling them out is that you risk damaging the caliper itself, the extractors u drill a small hole and wind these in and they hopefully unscrew the stuck part, (they screw in reverse)

good luck!