In a saucepan, over medium heat, combine the shallots and lemon juice. Season with salt and cayenne. Bring the mixture to a boil. Reduce the heat to medium low and simmer until the mixture reduces by half. Add the cream and continue to cook for 2 minutes.
Remove from the heat and whisk in the butter, a couple of pieces at a time. Season with the salt and cayenne. Strain through a fine-mesh sieve. Add the hot sauce, Worcestershire and chopped tarragon. Keep hot.
Yield: about 2 cups