Yes you can, and many people do that. But the oven method is how my mom makes it, mainly because she uses the smaller eggplants which are kept whole and layered with the sauce in a baking dish. Even if not using whole Italian eggplants, I like to finish it in the oven because it allows the eggplants to gently cook in the sauce without worrying about them disintegrating due to stirring over direct heat. Either way you'll have the same amount of dishes to wash, so it's up to you.