Easiest way out is to mentioned some medical exigency and resign from the company. Do not mention that you are going on for another job. Try to talk with HR and get things done.
If they already know you are going for another company, and then holding the relieving letter, without suggesting any action, such as buying out the notice period or so, the best way is to get your friends and superior's to reason and bat for you. If even that is out of question, and the new company does not require a relieving letter, just jump to new company, ask an old friend in previous company for some relieving letter format and edit to make it yours. Nobody, is going to bother, since the broking company you are with, now, are totally useless people (since you have tried all options). It is recommended that you do not argue or go legal to get the letter. Handle the situation diplomatically. This part of answer may be unethical, but if the situation demands there is no go. Do this only if your new employer needs relevant experience and letter to act as proof. Otherwise, simply ignore this and move on with new company.