Radical cystectomy (RC) is the standard of care (SOC) in BCG-unresponsive NMIBC and is associated with a significant health-related quality-of-life burden. Recently, promising results have been published on Gemcitabine/Docetaxel, Pembrolizumab, and Hyperthermic Intravesical Chemotherapy (HIVEC) as salvage therapy options trying to increase the rate of bladder preservation. Here, we performed a Cost-Effectiveness-Analysis of those treatment modalities. We developed a Markov model from a payer's perspective drawing on clinical data of single-arm trials testing intravesical gemcitabine/docetaxel and pembrolizumab in BCG-unresponsive NMIBC, as well as clinical data from patients receiving hyperthermic intravesical chemotherapy HIVEC (n = 29) as intravesical salvage chemotherapy at our uro-oncological centre in Cologne. Costs were simulated utilising a non-commercial diagnosis-related groups grouper, utilities were derived from comparable cost-effectiveness studies. We used a Monte Carlo simulation to identify the optimal treatment, comparing the incremental cost effectiveness ratios (ICERs) at a willingness-to-pay threshold of €50 000 (euro)/quality-adjusted life year (QALY). Over a horizon of 10 years, gemcitabine/docetaxel, HIVEC, and pembrolizumab were associated with costs of €48 353, €64 438, and €204 580, as well as a gain of QALYs of 6.16, 6.48, and 6.00, resulting in an ICER of €26 482, €42 567, and €184 533 respectively, in comparison to RC with total costs of €21 871 and a gain of QALYs of 5.01. Monte Carlo simulation identified HIVEC as the treatment of choice under assumption of a WTP of <€50 000. Considering a WTP of <€50 000/QALY, gemcitabine/docetaxel and HIVEC are highly cost-effective therapeutic options in BCG-refractory NMIBC, while RC remains the cheapest option. At its current price, pembrolizumab would only be cost-effective assuming a price reduction of at least 70%.