Compiling a windows (.exe) executable file using gnu cobol on ubuntu

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I need a program I wrote in a .cobc file to be compiled to a windows executable file. The file is called main.cobc
Compiling it with: cobc -x -free *.cobc -o main
makes it a linux executable which is ok, but can't be run directly on windows.
I have gnucobol (OpenCOBOL installed on my linux ubuntu VM.
Please help. Is there a way I could compile it in a way that it's windows compatible?

Thanks in advance!

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