Split the rolls down the middle, spread with the mayonnaise or horseradish, then set aside. Heat half the oil in a large frying pan and fry onions and peppers together for 5-10 mins until soft and beginning to colour, then spoon into the rolls.
Heat remaining oil in the same pan, season the steaks and cook for 1 min until browned. Flip steaks over, top with the cheese and continue to cook until the steak is cooked to your liking and the cheese has melted. lift the steaks into the rolls and tuck in.