Google suggests it's common to have a problem with dual-booting Windows 8 with GRUB, including the GRUB menu not showing Windows, or the Windows entry not working.
A common workaround is to use the firmware boot menu to select the OS. By rights the firmware should have a boot menu, although it is known to be omitted on some computers. (Firmware is a generic term that covers both EFI and old-style BIOS. Though what I'm writing relies on you using EFI specifically. There is no such thing as EFI BIOS).
Your computer may show "press X key" (DEL, F12, F2, ESC) briefly during boot. Or you can look up your model of computer. What is your model of computer? On Sony's discontinued VAIO line, there is even a dedicated button labelled "assist", which boots to EFI setup.
The firmware boot menu may be inside the firmware config. Or you may have two different "press X key", with one dedicated to the boot menu.
If you haven't already, PLEASE make sure you disable "Fast Startup" in Windows 8 once you have it working. This should be mentioned in your OS's install instructions.
One other option that gets mentioned is to install the rEFInd boot menu and have it detect both OS.
Another is Boot Repair, which can allegedly add a GRUB entry for Windows 8 in Ubuntu 12.04. However my guess is Ubuntu 14.04 is supposed to be able to do this itself. My experience of Boot Repair is that it's somewhat trigger-happy and can corrupt a working EFI boot. Therefore I would want to back up the EFI directory in advance, and make sure I had a working boot disc to both restore the EFI directory, and re-install an EFI boot entry from linux/grub.