ImageMagick Question

[Tas_mania]

Problem. I'm using software that outputs many JPGs and alpha JPGs like this:

   

Using this ImageMagick command I can combine the 2 JPGs into a 1 transparent PNG:

composite -compose copy_opacity frame_0000000_alpha.jpg frame_0000000.jpg 0000000.png

That works perfectly but I want to do hundreds or thousands of PNGs.
I tried this:
composite -compose copy_opacity frame_*_alpha.jpg frame_*.jpg *.png

It looks like the output filename doesn't work. Does anyone know how to convert these combined JPGs to PNG's?
Is there another Open Source method to achieve this?