Toss the Brussels sprouts in olive oil, salt, and pepper. Place into a baking dish, then put in oven for 30 minutes, taking out once to move around the sprouts.
Meanwhile, heat butter on stove on low heat. When it is completely melted, add flour and whisk together until the mixture forms a ball and just begins to brown. Add the milk and whisk constantly. When the mixture begins to thicken, add the cheddar cheese and whisk until melted. Pour this over the Brussels sprouts, then sprinkle the parmesan on top. Bake for 10 to 15 more minutes, until the cheese is bubbling and starting to brown.