Arsenal forward Lucas Perez was mooted as one potential target, but with the Spaniard seemingly on his way to West Ham, the Serie A side have turned their attention to other strikers.
Ecuadorian forward Caicedo is still at Lazio but has been linkd with Bursaspor, Leeds, Real Betis, Espanyol and Valladolid in the past two months.
Dembele has been linked with numerous clubs thanks to his form at Celtic following a move from Fulham, but the Hoops have held onto the France Under-21 international.
• READ MORE - Emilio Izaguirre confirms Celtic return
The former PSG youngster has been a reported target for Chelsea, Roma, Brighton, Everton, Manchester United and West Ham among others.
However, Il Tempo reports today that Lazio have made contact with the Scottish champions about the striker.
Celtic are also expected to complete the loan signing of Australia international Daniel Arzani later this week.