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Let (Y, Z) denote the solution to a forward-backward stochastic differential equation (FBSDE). If one constructs a random walk 
$B^n$ from the underlying Brownian motion B by Skorokhod embedding, one can show 
$L_2$-convergence of the corresponding solutions 
$(Y^n,Z^n)$ to 
$(Y, Z).$ We estimate the rate of convergence based on 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 partial differential equation associated to the FBSDE, as well as of the finite difference equations associated to the approximating stochastic equations. We derive these properties by probabilistic methods.
