Save this as hello.cbl:

identification division.
program-id. hello.
procedure division.
    display "Hello from GnuCOBOL!".
    stop run.

Free format (recommended):

cobc -x -free hello.cbl
./hello

One-liner version:

cobc -x -free hello.cbl && ./hello

Build from source (latest stable 3.2):

sudo apt install build-essential autoconf automake libtool bison flex libgmp-dev libdb-dev libncurses-dev libltdl-dev
wget https://sourceforge.net/projects/gnucobol/files/gnucobol/3.2/gnucobol-3.2.tar.xz
tar xf gnucobol-3.2.tar.xz
cd gnucobol-3.2
./configure
make -j$(nproc)
sudo make install

After install → use /usr/local/bin/cobc