Preheat oven to 200°C. Blanch mushroom caps in a pan of boiling water for 2 minutes. Drain on paper towels.
Heat oil in a large frying pan over medium heat. Add onion and garlic; sauté for 5 minutes. Add carrot and capsicum; cook for 4 minutes. Add the stock and oregano; cook for 4 minutes or until the vegetables are very soft. Remove from heat; stir in parmesan and parsley.
Spoon mixture into the mushroom caps and place on a baking tray. Bake for 10 minutes or until piping hot.