Caballero wants Scotland stay
The Argentinian was one of the unlucky ones who had to be sacked by The Dark Blues as they struggle with their finances.
The 24-year-old is still training with the Dens Park outfit's Under-21 side and is keeping in shape hoping for a new deal.
He says that he has had a few offers and is desperate to remain in Scotland as he has settled down well.
"I'm very excited about becoming a father. The baby is due on February 17 so there is a lot to think about," said Caballero.
"Football is important but so is my family. We really like Scotland and we've settled well here. It will depend on what happens but it will be difficult for my wife to fly when the baby arrives.
"I don't know if I will join another Scottish club. We'll need to wait and see what happens.
"I am training three times a day sometimes. I train with the Under 21s in the morning then go to the gym to do some extra in the afternoon.
"Sometimes I go for a run on my own just to keep fit. I want to be ready if another team wants me.
"I had an offer to train at Dundee United but I am happy training at Dundee just now.
"I have a few possibilities but nothing concrete.
"I have four sisters and three brothers and my family don't get over much because of the journey but they are very happy for me.
"They're interested to see if my baby will have a Scottish accent."
Both Celtic and Rangers have had an eye on the South American striker and they will be keen to know that he wants to remain in the SPL.