But, the solution makes sense with three doors, too.
I once saw a Prof explaining this problem to a class of undergrads, and after he was done, a student raised his hand and said “I disagree.” And before the student was allowed to explain why, the Prof just said “This is math, not politics! If you disagree, then you’re just wrong.” Kinda mean, but was pretty funny. 
Samuraicode is correct, under the specific conditions he describes.
Let’s say that before even reading the answer choices to a question, you pick A. Then you look at the answer choices. You don’t know whether A or C is correct, but you are 100% certain that B is wrong. So you eliminate B.
When you initially guessed A, you had a 1/3 chance of A being correct. That means there is a 2/3 chance the answer is not A. Therefore, if you switch your answer to “Not A”, you have a 2/3 chance of being correct. “Not A” means either B or C. But since you are 100% sure B is wrong, the only possible way “Not A” can be correct is for C to be correct. Therefore, your chance of being correct increases to 2/3 if you switch from A to C.
However, it is important to note that this only works in the exact scenario described above.
If you read the answers, eliminate B as wrong, and then pick A from the remaining two answers, you will not increase your chance of being correct if you switch to C. Because you are initially making your choice of A from only 2 options, either one has a 1/2 chance of being correct.
More important, if after first picking A you’re not 100% sure that B is wrong, you cannot be sure that you will improve your chances of being right by switching to C.
Finally, even if you first pick A and then eliminate B, it is often the case that you will have an informed opinion on whether A or C is more likely correct. If you follow your informed opinion that A is more likely correct than C, you would probably be better off not switching to C in those cases.
So this approach does work in theory, but in practice you most likely would not be able to apply it consistently over a large enough sample size of questions on a single CFA exam to gain an appreciable advantage. You would need to be 100% certain that one of the 2 choices you did not initially pick is wrong, and you would also have to ignore any sense you might have that your initial choice is more likely to be correct than the choice you could switch to. And there would have to have enough of these questions for your results to reflect the statistical average probability.
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lol this is nonsense, the entire premise of the monty hall problem is the fact that the presenter knows exactly what the right answer is and will always give you new information after your initial choice is made.
What you’re not considering is that if you suddenly are able to eliminate an answer later in the test after initially guessing you’re just as likely to eliminate your guess as you are one of the other two choices, versus monty hall which will always eliminate a wrong answer that was not your original guess.
Example in exam if you always switch
One third of the time your original guess was right which means you will be wrong since you later switch, one third of the time your original guess is wrong and you eliminate that guess – this will lead to a conditional probability of .5 and the last 3rd of the time you will have guessed wrong, eliminated the other wrong answer, and therefore have a conditional probability of 1.
(1/3)*(0) + (1/3)*(.5) + (1/3)(1) = .5
Example if you never switch (unless of course you later eliminate your original guess)
two thirds of the time you will guess wrong and have a .5 probability of later eliminating your original guess which leads to a conditional probability of .5 and one third of the time you guessed right which leads to a conditional probability of 1
(2/3)*(.5)*(.5) + (1/3)*(1) = .5
While I think this is funny and agree with his comment, as a teacher, he should let the student explain the rationale… then explain why it’s wrong and how to avoid that mistake. 
Sadly many profs are jaded and have no interest in actual teaching. It’s honestly a sad state of affairs in professional mathematics that teaching skills are wildly under appreciated and, as a result, receive very little focus.
One of the many reasons I ultimately turned my back on academia.
maybe he was trying to make a point.