Preheat the oven to 425˚F. Line a baking sheet with with parchment paper.
Toss asparagus in olive oil and salt and pepper to taste.
On a lightly floured surface, roll out the puff pastry to roughly so they are about double in size. Cut each into 6 squares.
Place prsisciutto on each pastry square, then add 3 to 4 stalks of asparagus. You can add cheese into each one now (I prefer to top them so the cheese gets a great color to it) fold two corners in. Brush with beaten egg, salt and pepper. Bake for about 12 to 15 minutes.