The best substitute for anchovies varies by dish. Substitutes include fish sauce, shrimp paste, sardines, soy sauce, or miso. The only one I would recommend for this recipe is a bit of Worcestershire sauce (the amount to your liking). If I'm being honest, I will tell you that the taste of anchovies is not strong in this recipe. It creates more of an unami flavor that complements the sauce and pairs well with the taste of capers and olives. I would definitely try this recipe with the anchovy to try something new! I bet you will acquire a new appreciation for the taste.