You might change the directory reference in the script, the ./ in front of the bfgminer call, to a fully qualified path, eg. mine is /home/ubuntu/bfgminer_5.4.2-futurebit2_linux_x86_64/bfgminer ...
Do you have the execute bit set on the permissions for bfgminer(?), eg. -rwxrwxr-x 1 ubuntu ubuntu 2242544 Dec 13 2017 bfgminer (chmod 775 bfgminer)
just tried it with full path and it's doing the same thing. I gave rw to the user, group and others to the whole directory for testing.