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Preheat the oven to 425°F.
Cover asparagus with water in a large, deep skillet and bring to a boil. Cook just until tender, 2 to 3 minutes, then transfer asparagus to a bowl of ice water until chilled to stop the cooking; drain well.
Divide asparagus into 4 piles, wrapping each with a slice of prosciutto around the center to form a bundle. Transfer to a baking sheet, season with pepper and sprinkle with Parmigiano-Reggiano. Roast until cheese is golden brown, 4 to 5 minutes. Transfer to plates and serve with lemon wedges on the side.