This phase II study is designed to determine the clinical efficacy of PD-1 blockade, using the anti-PD-1 monoclonal antibody pembrolizumab (MK-3475), administered as consolidation therapy after autologous stem cell transplant (ASCT), in patients with relapsed or refractory (R/R) Diffuse Large B Cell Lymphoma (DLBCL) or classical Hodgkin Lymphoma (cHL).