You did not answer the question about how the ESP is connected or specify the model of Arduino. If you are using an Uno you cannot connect the ESP to hardware serial and use the serial monitor at the same time. If you are connecting using software serial, there is no way that you will be able to use 115200 baud rate. Software serial will not work reliably above 38400 baud in most cases.
I would recommend that you follow the instructions in the guide, that I linked, to enable programming the ESP using the Arduino IDE. The firmware question becomes moot and you can use any baud rate that you need. The ESP programmed with the IDE is much more versatile than an ESP using any of the AT firmwares.