Story highlights Two young women went missing after traveling to Syria in late July

Some online postings say the video is from al Qaeda affiliate Jabhat al-Nusra

"I have no doubt that it's them," the father of one of the captives tells CNN

(CNN) The two young women are seen in Islamic garb with only their faces showing. They appear to be seated against a wall. One reads a brief statement in English, which includes: "We are in big danger and we could be killed."

The statement identifies them as Greta Ramelli and Vanessa Marzullo. Two young Italian women by those names -- ages 20 and 21 -- went missing and were believed kidnapped after they traveled to Syria in late July.

"I have no doubt that it's them," Vanessa's father Salvatore Marzullo told CNN of the video posted online Thursday. Some postings say the video is from al Qaeda affiliate Jabhat al-Nusra.

One of the young women holds a paper suggesting that the video was shot December 17.

Two young women went missing and were believed kidnapped after they traveled to Syria in late July.

"We supplicate our government and its mediators to bring us back home before Christmas. We are in big danger and we could be killed. The government and its mediators are responsible of our lives," the other says, reading the statement.

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