lostpassword_redirect filter is not used

I was missing something. Woocommerce accounts are different from normal WordPress accounts. The code that I was looking for was:

function woocommerce_new_pass_redirect( $user ) {
  wp_redirect( get_permalink(woocommerce_get_page_id('myaccount')));
  exit;
}

add_action( 'woocommerce_customer_reset_password', 'woocommerce_new_pass_redirect' );

I found it on stackoverflow.