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Season filet mignons with salt and pepper. Heat oil in a skillet over medium heat until hot but not smoky. Fry filet mignons (in 2 or 3 batches) in skillet for approximately 10 minutes, turning them once. Remove from skillet and keep warm covered with aluminium foil.
Melt butter over medium heat in the same skillet where meat was fried. Add onion and cook, stirring occasionally until soft. Stir in garlic and sliced mushrooms. Season with salt and pepper and cook stirring until all liquid has evaporated. Add paprika and cook stirring 2 minutes. Stir in sour cream, mustard, Worcestershire sauce and simmer (mixture must not boil). Add juices from filet mignons, if any. If sauce is too thick, add ¼ cup water to thin it. Correct seasoning. Serve sauce with filet mignons.
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