This study is focused on the numerical resolution of backward stochastic differential equations, with data dependent on a jump-diffusion process. We propose and analyze a numerical scheme based on iterative regression functions, which are approximated by projections on vector spaces of functions, with coefficients evaluated using Monte Carlo simulations. Regarding the error, we derive explicit bounds with respect to the time step, the number of simulated paths and the number of functions : this allows us to optimally adjust the parameters to achieve a given accuracy. We also present numerical tests related to option pricing with differential interest rates and locally risk-minimizing strategies (Föllmer-Schweizer decomposition)