Just hang up... you have power to end the call - if they ring back, then a shrill blast of a loud whistle down the phone... or just play along, drag them along for as long as you can... record your time, then try to beat that time at the next occasion they ring... and inform them if you break your previous time... the longer they spend on a call to you, they lose "money"...
I get cold called now & again, from Irish, UK numbers ... usually I would take their details, ask for their supervisor details, what company they work for, business address, ask how they got my details etc etc.. request to remove from their database, but as it doesn't happen that often it's not a big thing...