I've worked on a similar project, we tested two different approaches:

Recompiling the COBOL codebase on Linux and accessing and loading it as shared objects (via JNI for JVM usage)

Running Hercules ( https://en.wikipedia.org/wiki/Hercules_%28emulator%29 ), an IBM mainframe emulator

The first one has lots of merits, as it allows for a progressive replacement of COBOL functionalities

The second one immediately lowers the TCO for obvious licensing reasons but does not plan for the future, particularly as COBOL developers retire and thus the resources are scarce.

(Anecdotally the customer chose both: recompilation & progressive replacement by Java code for core assets and emulation for "dead", non core, assets dev & staging environments)