Thaw a frozen filet in the refrigerator overnight.
Remove the steak from the fridge and let it rest for 30 minutes then season the steak generously with salt and pepper.
Preheat oven at high heat, 400F (205C ), and while you're waiting for a hot oven, also heat up an oven-safe skillet.
Drizzle a little olive oil on the skillet and bring it to medium heat.
Once the skillet has reached temperature, pan-fry the filet.
Grill the filet mignon for just 2 minutes per side until crusty.
Once you’ve seared the filet on both sides, put the skillet in the oven.
Bake the steak according to the doneness you prefer. For example: For medium rare, it will take about 6 minutes. Medium, it will take about 8 minutes. Medium well can take 10 minutes or so. Well done will take at least 12 minutes. Check the internal temperature with a meat thermometer before serving the steak to be certain is has reached the desired internal temperature.
Remove the skillet from the oven, put the steak on a plate, let it rest for 5 minutes, then serve.