This problem, perhaps more than any other, started the Bohr Group.
Before the guard returns, A knows that he will return, A knows that he will say either that he gave the note to B or that he gave the note to C. So A hasn't learned anything new about her chances of being executed, and that probability remains what it was before: One third.
This can be shown formally using Bayes law
Let a mean “A will be executed.”
Let b mean “B was given the note.”
P(b|a)=1/2.
P(a)=1/3.
P(b)=1/2.
(1/2)×(1/3)/(1/2) = 1/3.
The probability of B getting the note if A is to be executed is 1/2 (could be B or C). The prior probability that A is to be executed is 1/3. The probability of B getting the note is 1/2. This is intuitive because of symmetry, or it can be calculated as P(A is executed, B gets the note) + P(B is executed, B gets the note) + P(C is executed, B gets the note) = (1/3 × 1/2) + (1/3 × 0) + (1/3 × 1) = 1/2.