Lobster Thermidor

Ingredients
For the Lobster:

2 live lobsters (1.5 to 2 pounds each)
1 lemon, quartered
1 bay leaf
For the Thermidor Sauce:

2 tablespoons unsalted butter
1 small onion, finely chopped
1 garlic clove, minced
1/2 cup dry white wine
1 cup heavy cream
1 tablespoon Dijon mustard
1 tablespoon chopped fresh tarragon (or 1 teaspoon dried tarragon)
1 teaspoon paprika
Salt and black pepper, to taste
1 tablespoon all-purpose flour
1/2 cup grated Gruyère cheese (or Swiss cheese)
1/4 cup grated Parmesan cheese
For Garnish:

Fresh parsley, chopped
Lemon wedges
Instructions
Prepare the Lobster: