A letter written in captivity by American aid worker Peter Kassig, who is being held hostage by the Islamic State (IS) in Syria, has been released by his parents.

In the letter, Kassig says: "I am obviously pretty scared to die but the hardest part is not knowing, wondering, hoping, and wondering if I should even hope at all."

Kassig appeared at the end of a video showing the brutal beheading of British hostage Alan Henning last week.

ISIS have threatened to kill the 26-year-old next.

Kassig converted to Islam after being taken captive by IS militants in October last year, and now goes by the name Abdul-Rahman.

According to his parents, who yesterday issued a statement for the first time, Kassig – who previously served as an Army Ranger in Iraq – turned to Islam after founding his own relief organisation, Special Emergency Response and Assistance (SERA), to deliver aid in areas of conflict.

Speaking to CNN about SERA in 2012, he said: "I guess I am just a hopeless romantic, and I am an idealist, and I believe in hopeless causes.

"In five years, if I can look back on all of this and say that our organisation is able to truly help people, that I was able to share a little bit of hope and that I never stopped learning then I will know this all stood for something."

"He grew to love and admire the Syrian people and felt at home there. Our son's journey culminated in him embracing Islam. Sadly, he was taken captive and is not free to continue his life's work serving the people of the region," his father, Ed Kassig said yesterday.

"We are so very proud of you and the work you have done to bring humanitarian aid to the Syrian people...Our hearts ache for you to be granted your freedom so that we can hug you again and then set you free to continue the life you have chosen, the life of service to those in greatest need," Paula Kassig added in an address to their son.

"We implore those who are holding you to show mercy, and use their power to let you go."

In his letter, received on June 2, Kassig said his situation had been "complicated", likely by his conversion to the faith of his captors.

"In terms of my faith, I pray every day and am not angry about my situation in that sense. I am in a dogmatically complicated situation here, but I am at peace with my belief," he wrote.

"If I do die, I figure that at least you and I can seek refuge and comfort in knowing that I went out as a result of trying to alleviate suffering and helping those in need."

A spokesperson for the White House confirmed Kassig's capture on Friday.

"We will continue to use every tool at our disposal – military, diplomatic, law enforcement and intelligence – to try to bring Peter home to his family," said Caitlin Hayden of the National Security Council.