Preheat oven to 350°F.
Grease the baking dish with olive oil.
Cut the chicken breast into bite-sized pieces.
Heat olive oil in a large skillet and cook the chicken pieces over medium heat for about 5-7 minutes until golden brown on all sides. Season with salt, pepper, and paprika.
Wash the broccoli, cut it into small florets, and blanch for 3 minutes in boiling salted water. Rinse with cold water.
In a small bowl, combine heavy cream, milk, cornstarch, crumbled feta cheese, oregano, and nutmeg to make the cream. Season with salt and pepper to taste.
Place the chicken and broccoli in the baking dish and gently toss to combine.
Pour the feta cream sauce evenly over the chicken and broccoli. Top with shredded cheese.
Bake for about 25 minutes, or until the cheese is golden brown. Serve hot.
