An EFI-mode GRUB should be able to chainload the OS X boot loader, but the GRUB prober might not know where to find it. It's traditionally stored as
/System/Library/CoreServices/boot.efi on the OS X root partition; but since Yosemite, it's typically stored on the emergency-boot disk instead, since the root filesystem now uses an LVM setup by default, which the firmware can't read. In any event, you may need to write a custom GRUB entry to get this to boot. See here for some basic information, although that doesn't give complete instructions for what you want.
If your Ubuntu installation is in BIOS/CSM/legacy mode, it may be harder, since GRUB can't redirect to an EFI-mode boot. GRUB has the ability to boot the OS X kernel directly, but that can be tricky to set up and may lose you some features in OS X. This is definitely fringe/bleeding-edge stuff, so I don't recommend you try it. If you care to do so, you can probably find instructions somewhere on the Internet, but I don't have any URLs handy.
Many Mac users prefer to use something other than GRUB as the default boot loader, relegating GRUB to secondary status or not using it at all. The traditional tool for doing this is rEFIt, but it's been abandoned for five years now. It still works, but if you use Yosemite or some other relatively recent options, you may have to jump through some extra hoops. I created a fork of rEFIt called rEFInd. It's actively maintained and will boot any of your OSes. You can try it out on a CD-R or USB flash drive before installing it to your hard disk, if you like. (The downloads page includes links to images for both types of media. rEFInd can boot Linux kernels directly, thus bypassing GRUB; or it can chainload to either an EFI-mode or a BIOS-mode GRUB. It can also chainload to the OS X boot loader and to both EFI-mode and BIOS-mode Windows boot loaders.