Preheat the oven to 200 degrees C. Grease a baking tray.
In a bowl, mix the butter, flour and cheese until a rough dough is formed. On a floured surface knead the dough until smooth, about 5 minutes. Roll out the dough to 1cm thick and cut out the biscuits with a round cutter.
Place biscuits on the baking tray and lightly brush with egg yolk. Bake 20 minutes.