Preheat the oven to 425˚F. Line a baking sheet with aluminium foil and spray with cooking spray.
Place the salmon filets on the foil. Pat dry with a paper towel. Rub the olive oil on top and sprinkle with salt and pepper.
Bake in the preheated oven for 6-12 minutes.
Meanwhile in a small saucepan, heat the broth, cream, dill and salt. Whisk continuously and allow to simmer for around 5 minutes.
Mix in the lemon zest and pour over the salmon.