  We provide a critical analysis of the proof of the fundamental theorem of
asset pricing given in the paper "Arbitrage and approximate arbitrage: the
fundamental theorem of asset pricing" by B. Wong and C.C. Heyde (Stochastics,
2010) in the context of incomplete It\^o-process models. We show that their
approach can only work in the known case of a complete financial market model
and give an explicit counterexample.
