A painting depicting a mill by the Dutch artist Piet Mondrian has also been created.
It writes the BBC.
Both were stolen, along with a third work, in 2012. The paintings at the museum were removed from the frames, after which the perpetrators disappeared in just a few minutes.
According to Reuters, which quotes an anonymous policeman, a Greek man has been arrested after the works were found in a hidden ravine on the outskirts of Athens.
The discovery came about a month after the Greek police announced that they still hoped to find the paintings.
The Picasso painting is a portrait of a woman in his characteristic Cubist style, and was a gift to the museum from the artist himself in 1949. Picasso then said that the gift was a recognition of the country's resistance to Nazi Germany.