Preheat oven to 425 F and lightly grease two baking trays.
Combine olives, ham and cheddar in a bowl. Cut about five 4-inch rounds from each pastry sheet. Spoon a tablespoon of the filling into the center of each round, fold the pastry over and crimp the edges to seal.
Place the pastries on the trays about 2 cm apart. Brush with the egg yolk and bake in the center or top half of oven for 15 minutes, or until well browned and puffed. Swap the trays around and cook another 10 minutes, covering loosely with foil if the empanadas start to brown too much. Serve hot.