  Let (Y, Z) denote the solution to a forward-backward SDE. If one constructs a
random walk B n from the underlying Brownian motion B by Skorohod embedding,
one can show L 2 convergence of the corresponding solutions (Y n , Z n) to (Y,
Z). We estimate the rate of convergence in dependence of smoothness properties,
especially for a terminal condition function in C 2,$\alpha$. The proof relies
on an approximative representation of Z n and uses the concept of discretized
Malliavin calculus. Moreover, we use growth and smoothness properties of the
PDE associated to the FBSDE as well as of the finite difference equations
associated to the approximating stochastic equations. We derive these
properties by stochastic methods.
