Preheat oven to 400 degrees F (205 degrees C). Line a sheet pan with parchment paper.
Trim the tough ends off of the Asparagus (1 pound). Take the Prosciutto (6 ounce) slices and cut them in half horizontally so you have long strips to wrap.
Wrap each asparagus tightly with a piece of prosciutto. Place on the prepared baking sheet with a little room between each one. Drizzle with Olive Oil (1 tablespoon) and sprinkle with Ground Black Pepper (to taste).
Bake in the preheated oven for 8-10 minutes until the asparagus is bright green, tender yet firm, and can be pierced easily with a fork.
Sprinkle with Parmesan Cheese (to taste) and zest from the Lemon (to taste), if using. Serve and enjoy!