Inclusion Criteria:

          -  Have a diagnosis of ovarian, fallopian tube, or primary peritoneal cancer patients who
             had a complete response to primary treatment with platinum based chemotherapy, have
             progressed within 6 months of completing platinum based chemotherapy and have
             subsequently received at least one, non-platinum-based, therapy

          -  Have relapsed, refractory, or progressive disease following last line of treatment

          -  Have estimated life expectancy of at least 3 months

          -  Be willing and able to provide written informed consent/assent for the trial

          -  Have measurable disease with at least 1 unidimensional lesion based on Response
             Evaluation Criteria in Solid Tumors (RECIST) 1.1

          -  Have a performance status of 0 or 1 on the Eastern Cooperative Oncology Group (ECOG)
             performance scale

          -  Absolute neutrophil count (ANC) >= 1,500/mcL (within 10 days of treatment initiation)

          -  Platelets >= 100,000/mcL (within 10 days of treatment initiation)

          -  Hemoglobin >= 9 g/dL or >= 5.6 mmol/L without transfusion or erythropoietin (EPO)
             dependency (within 7 days of assessment) (within 10 days of treatment initiation)

          -  Serum creatinine =< 1.5 X upper limit of normal (ULN) OR measured or calculated
             creatinine clearance (glomerular filtration rate [GFR] can also be used in place of
             creatinine or creatinine clearance [CrCl]) >= 60 mL/min for subject with creatinine
             levels > 1.5 X institutional ULN (within 10 days of treatment initiation)

             *Creatinine clearance should be calculated per institutional standard

          -  Serum total bilirubin =< 1.5 X ULN OR direct bilirubin =< ULN for subjects with total
             bilirubin levels > 1.5 ULN (within 10 days of treatment initiation)

          -  Aspartate aminotransferase (AST) (serum glutamic-oxaloacetic transaminase [SGOT]) and
             alanine aminotransferase (ALT) (serum glutamate pyruvate transaminase [SGPT]) =< 2.5 X
             ULN OR =< 5 X ULN for subjects with liver metastases (within 10 days of treatment
             initiation)

          -  Albumin >= 2.5 mg/dL (within 10 days of treatment initiation)

          -  International normalized ratio (INR) or prothrombin time (PT) =< 1.5 X ULN unless
             subject is receiving anticoagulant therapy as long as PT or partial thromboplastin
             time (PTT) is within therapeutic range of intended use of anticoagulants (within 10
             days of treatment initiation)

          -  Activated partial thromboplastin time (aPTT) =< 1.5 X ULN unless subject is receiving
             anticoagulant therapy as long as PT or PTT is within therapeutic range of intended use
             of anticoagulants (within 10 days of treatment initiation)

          -  Female subject of childbearing potential should have a negative urine or serum
             pregnancy within 72 hours prior to receiving the first dose of study medication; if
             the urine test is positive or cannot be confirmed as negative, a serum pregnancy test
             will be required

          -  Female subjects of childbearing potential should be willing to use 2 methods of birth
             control or be surgically sterile, or abstain from heterosexual activity for the course
             of the study through 120 days after the last dose of study medication; subjects of
             childbearing potential are those who have not been surgically sterilized or have not
             been free from menses for > 1 year

        Exclusion Criteria:

          -  Is currently participating and receiving study therapy or has participated in a study
             of an investigational agent and received study therapy within 4 weeks of the first
             dose of treatment

          -  Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy or any
             other form of immunosuppressive therapy within 7 days prior to the first dose of trial
             treatment

             * Short-term administration of systemic steroids (i.e., for allergic reactions or the
             management of immune related adverse events [irAEs]) is allowed

          -  Has a known history of active TB (Bacillus tuberculosis)

          -  Hypersensitivity to pembrolizumab or any of its excipients

          -  Has had a prior anti-cancer monoclonal antibody (mAb) within 4 weeks prior to study
             day 1 or who has not recovered (i.e., =< grade 1 or at baseline) from adverse events
             due to agents administered more than 4 weeks earlier

          -  Has had prior chemotherapy, targeted small molecule therapy, or radiation therapy
             within 2 weeks prior to study day 1 or who has not recovered (i.e., =< grade 1 or at
             baseline) from adverse events due to a previously administered agent

               -  Note: subjects with =< grade 2 neuropathy are an exception to this criterion and
                  may qualify for the study

               -  Note: if subject received major surgery, they must have recovered adequately from
                  the toxicity and/or complications from the intervention prior to starting therapy

          -  Has a known additional malignancy that is progressing or requires active treatment;
             exceptions include basal cell carcinoma of the skin or squamous cell carcinoma of the
             skin that has undergone potentially curative therapy or in situ cervical cancer

          -  Has known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis; subjects with previously treated brain metastases may participate provided
             they are stable (without evidence of progression by imaging for at least four weeks
             prior to the first dose of trial treatment and any neurologic symptoms have returned
             to baseline), have no evidence of new or enlarging brain metastases, and are not using
             steroids for at least 7 days prior to trial treatment; this exception does not include
             carcinomatous meningitis which is excluded regardless of clinical stability

          -  Has active autoimmune disease that has required systemic treatment in the past 2 years
             (i.e. with use of disease modifying agents, corticosteroids or immunosuppressive
             drugs); replacement therapy (e.g., thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency, etc.) is not considered a
             form of systemic treatment

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

          -  Has an active infection requiring systemic therapy

          -  Has a history or current evidence of any condition, therapy, or laboratory abnormality
             that might confound the results of the trial, interfere with the subject's
             participation for the full duration of the trial, or is not in the best interest of
             the subject to participate, in the opinion of the treating investigator

          -  Has known psychiatric or substance abuse disorders that would interfere with
             cooperation with the requirements of the trial

          -  Is pregnant or breastfeeding, or expecting to conceive children within the projected
             duration of the trial, starting with the pre-screening or screening visit through 120
             days after the last dose of trial treatment

          -  Clinically significant cardiovascular disease

          -  Known severe hypersensitivity reactions to monoclonal antibodies or carboplatin >=
             grade 3, any history of anaphylaxis, or uncontrolled asthma

          -  Has received prior therapy with pembrolizumab

          -  Has a known history of human immunodeficiency virus (HIV) (HIV 1/2 antibodies)

          -  Has known active hepatitis B (e.g., hepatitis B surface antigen [HBsAg] reactive) or
             hepatitis C (e.g., hepatitis C virus [HCV] ribonucleic acid [RNA] [qualitative] is
             detected)

          -  Has received a live vaccine within 30 days of planned start of study therapy

               -  Note: seasonal influenza vaccines for injection are generally inactivated flu
                  vaccines and are allowed; however intranasal influenza vaccines (e.g., Flu-Mist)
                  are live attenuated vaccines, and are not allowed