Past exam of the Probability, statistics and options II course of the University of Oxford / 2010 / E / E4 / c / i / Solution

Yes. A Cauchy sequence of continuous functions in the supremum norm is Cauchy in the given complete space of bounded functions, so it has a uniform limit there. A uniform limit of continuous functions is continuous: at a point, use two uniform errors smaller than $\epsilon /3$ and continuity of one sufficiently late term for the remaining error. Thus the limit is in $C([0,1])$, proving completeness. Equivalently this is a closed subspace of the given complete space.