The OpenCOBOL compiler is free. As far as I know, there are versions for Windows, Linux and Mac OS X - http://www.opencobol.org
Edit: A possible option would be Veryant isCOBOL http://www.veryant.com . Veryant should free the student version (i.e. Limited) of their compiler. The Veryant isCOBOL compiler compiles at runtime in Java and, as such, can run on OS X.
Their faq http://www.veryant.com/products/faq.php?type=all states that "being Java-based, the isCOBOL compiler runs on any platform that supports Java Development Kit (JDK) version 1.4.2 or higher The compiled isCOBOL Debugger and isCOBOL code can run on any platform that supports Java Runtime Environment (JRE) version 1.4.2 or later, so isCOBOL APS supports many platforms, including AIX, HP -UX, Linux, Solaris and Windows. the exception is isCOBOL ISAM ODBC, which currently only works on Windows. "
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