Heat the oven to 400°F Beat the egg and water in a small bowl with a fork. Stir the peaches, brown sugar, flour, pecans and vanilla extract in a large bowl.
Unfold the pastry sheet on a lightly floured surface. Roll the pastry sheet into a 14x12-inch rectangle. Spoon the peach mixture lengthwise down the center of the pastry. Cut slits 1 inch apart from the 2 sides of the pastry rectangle to within 1/2 inch of the peach mixture. Starting at one end, fold the pastry strips over the peach mixture, alternating sides, to cover the peach mixture. Brush the pastry with the egg mixture. Sprinkle with the coarse sugar. Place the pastry onto a baking sheet.
Bake for 25 minutes or until the pastry is golden brown. Let the pastry cool on the baking sheet on a wire rack for 20 minutes.