Snap woody ends off asparagus spears. In a large frying pan, bring 3/4 cup water to boil. Add salt and trimmed asparagus, cover, and cook until asparagus is tender, about 4 minutes. Drain, dry, and let cool.
In a small bowl, combine sour cream, chopped egg, parsley, lemon juice, mustard, lemon zest, and pepper. Add salt to taste.
Lay 4 asparagus spears on each piece of prosciutto and roll up. Repeat to form 4 bundles. Serve with sauce.