Trim the tough and fibrous grayish purple ends off the asparagus.
Place the asparagus spears on a sheet pan, and drizzle with olive oil, salt and pepper. Toss well to coat.
Lay the prosciutto slices out onto a cutting board. Slice each in half down the length of the slice, then grate a thin layer of parmigiano reggiano on top of all the prosciutto.
Roll each asparagus spear with the parmigiano prosciutto, then arrange in a single layer on the sheet pan.
Bake for about 10 minutes (but check after 6-7 because thicknesses will vary), until the asparagus is still somewhat firm, but tender. It should limp slightly when picked up...or you can just taste it and see if it's done to your liking.
Grate more parmesan on top if you'd like, and enjoy!
*Prosciutto varies hugely in quality. Try to get prosciutto di parma or another high quality one.