Cut about an inch off the bottoms of the asparagus stalks. Line them up in a single layer on a cookie sheet.
Drizzle with a small amount of olive oil. Use your hands to rub the olive oil evenly over the stalks.
Sprinkle with salt and pepper to taste.
Bake at 400° for 5-10 minutes, or just till tender. Sprinkle with freshly grated parmesan cheese and cook for 2-3 more minutes or till cheese melts. Serve immediately.