Inclusion Criteria:

          -  Between 6 months and <18 years of age on day of signing informed consent is
             documented.

          -  Histologically- or cytologically-documented, locally-advanced, or metastatic solid
             malignancy or lymphoma that is incurable and has failed prior standard therapy, or for
             which no standard therapy exists, or for which no standard therapy is considered
             appropriate

          -  Any number of prior treatment regimens

          -  Tissue (or lymph node biopsy for rrcHL participants) available from an archival tissue
             sample or, if appropriate, a newly obtained core or excisional biopsy of a tumor
             lesion not previously irradiated

          -  Advanced melanoma or PD-L1-positive advanced, relapsed, or refractory solid tumor or
             lymphoma

          -  Measurable disease based on RECIST 1.1 (Or based on IWG [Cheson, 2007] [i.e.,
             measurement must be >15 mm in longest diameter or >10 mm in short axis] for rrcHL
             participants)

          -  Participants with neuroblastoma with only metaiodobenzylguanidine (MIBG)-positive
             evaluable disease may be enrolled

          -  Lansky Play Scale ≥50 for participants from 6 months up to and including 16 years of
             age; or Karnofsky score ≥50 for participants >16 years of age

          -  Adequate organ function

          -  Female participants of childbearing potential should have a negative urine or serum
             pregnancy test within 72 hours before the first dose of study medication

          -  Female participant is not a woman of childbearing potential (WOCBP) or is a WOCBP who
             is abstinent from heterosexual intercourse or using contraception during the
             intervention period and for at least 120 days after the last dose of study
             intervention

          -  Contraceptive use by men should be consistent with local regulations regarding the
             methods of contraception for those participating in clinical studies.

          -  Demonstrate adequate organ function.

        Exclusion Criteria:

          -  Currently participating and receiving study therapy in, or has participated in a study
             of an investigational agent and received study therapy or used an investigational
             device within 4 weeks of the date of allocation/randomization

          -  Diagnosis of immunodeficiency or receiving systemic steroid therapy or any other form
             of immunosuppressive therapy within 7 days prior to the date of
             allocation/randomization

          -  Prior systemic anti-cancer therapy including investigational agent within 2 weeks
             prior to study Day 1 or not recovered from adverse events due to a previously
             administered agent

          -  Prior radiotherapy within 2 weeks of start of study treatment

          -  Known additional malignancy that is progressing or requires active treatment with the
             exception of basal cell carcinoma of the skin, squamous cell carcinoma of the skin or
             carcinoma in situ (eg, breast carcinoma, cervical carcinoma in situ) with potentially
             curative therapy, or in situ cervical cancer

          -  Known active central nervous system (CNS) metastases and/or carcinomatous meningitis

          -  Tumor(s) involving the brain stem

          -  Severe hypersensitivity (≥ Grade 3) to pembrolizumab and/or any of its excipients

          -  Active autoimmune disease that has required systemic treatment in past 2 years;
             replacement therapy (such as thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency) is acceptable

          -  Has a history of (non-infectious) pneumonitis that required steroids or current
             pneumonitis.

          -  Active infection requiring systemic therapy

          -  Pregnant or breastfeeding, or expecting to conceive or father children within the
             projected duration of the trial through 120 days after the last dose of study
             medication

          -  Prior therapy with an anti-programmed cell death (PD)-1, anti-PD-ligand 1
             (anti-PD-L1), anti-PD-L2 agent, or any agent directed to another stimulatory or
             inhibitory T-cell receptor (eg, cytotoxic lymphocyte associated protein-4 [CTLA-4],
             OX-40, CD137)

          -  Human immunodeficiency virus (HIV)

          -  Hepatitis B or C

          -  Known history of active tuberculosis (TB; Bacillus tuberculosis)

          -  Received a live vaccine within 30 days of planned start of study medication

          -  Has undergone solid organ transplant at any time, or prior allogeneic hematopoietic
             stem cell transplantation within the last 5 years. (Participants who have had an
             allogeneic hematopoietic transplant >5 years ago are eligible as long as there are no
             symptoms of Graft Versus Host Disease [GVHD].)

          -  History or current evidence of any condition, therapy, or laboratory abnormality, or
             known severe hypersensitivity to any component or analog of the trial treatment, that
             might confound the results of the trial, or interfere with the participant's
             participation for the full duration of the study

          -  Known psychiatric or substance abuse disorders that would interfere with the
             requirements of the study