Unroll the puff pastry together with the baking paper and let it rest for a short time. Grate cheese roughly. Spread on the dough with ham. Roll up the pastry sheet from the long side using the baking paper. Cut the roll into 8 pieces and place them on a baking tray lined with baking paper.
Whisk the egg yolk and 2 tablespoons of water. Spread the dough pieces with it. Bake in the preheated oven (electric cooker: 200 °C/circulating air: 175 °C/gas: see manufacturer) for approx. 15 minutes until golden brown.