Brush chicken breasts with olive oil. Combine rub mixture and apply to chicken breasts. Cover and refrigerate. In a medium sauce pan melt butter over a low heat. Increase temperature and add prosciutto and saute for 2 minutes. Add shallots and garlic and saute until lightly browned.
Add marsala wine, mushrooms and black pepper. Simmer for about 5 minutes. Disolve cornstarch in chicken stock and pour into sauce pan. Stir until well combined. Add parsley and cream and continue simmering until the mixture thickens. Remove from heat and cover. Preheat grill.
Grill chicken breasts using either gas or wood for about 6 to 8 minutes per side. After 3 to 4 minutes give each breast a 90 degree turn on the grill to create criss cross marks. When completely cooked remove chicken from grill and place on a plate. Spoon 1/4 of the marsala mixture over each breast and serve with roasted potatoes and mixed vegetables.