Heat up a bit of oil in a pan. Clean the shrimp and pat dry, season with salt and pepper and bake until pink.
This part is optional, but amazing for the flavour. Add some ouzo to the shrimp and flambe. Let the flame go out, this will take a few second, and remove the shrimp from the pan and set aside.
Add some more oil to the pan and sweat the onion, garlic and bell peppers. Then add the tomato, paprika powder and parsley. Bring to taste with salt and pepper and let this simmer for 10 minutes.
Put the shrimp back in the pan and serve when the shrimp are hot with feta, fresh parsley and some lemon.