C++ callback with lambda function

First of all, I'm beginner in C++ so I don't know if the way I'm doing this is right or can cause some problem.

So, I'm trying to pass a generic callback to a function and then call member functions from different objects inside that callback. In this case, I'm creating a closure with a lambda function to capture the objects and then inside the lambda I'm calling they member functions.

Well, for example, the code is something like this:

void functionWithCallback(std::function<void()> callback)
{
    // Do some stuff ...
    callback();
}


int main() 
{
    SomeClass *some_object = new SomeClass();
    AnotherClass *another_object = new AnotherClass();

    std::function<void()> callback = [some_object, another_object]() {
        some_object->someFunction();
        another_object->anotherFunction();
    };

    functionWithCallback(callback);
}

My question is: is this a correct way or can it cause some problems or unexpected behaviors? Is there any more elegant way to do this?

Thanks!