How to customize the Lost Password URL?

I have a WordPress website on which I have changed the default login url from “mydomain.com/wp-login.php” to “mydomain.com/login”.
Currently my lost password URL is at “mydomain.com/login?action=’lostpassword’”. How can I change the URL in order to have it at “mydomain.com/lostpassword”?

I changed the link using the lostpassword_url filter, but now I have to somehow display the default lost password page on the new custom link (it is currently showing "Page not found").

I am not trying to display a custom lost password page, but to display the default lost password page on a custom url.

Thanks for your help!