Is there any way to put a DateTimePicker control in the DataGridView?
I checked all the possible properties but it give option of checkbox, combo box etc, but not the DateTimePicker.
You haven't missed any built-in option, but it is possible to subclass both the DataGridViewColumn and DataGridViewCell classes to host any control of your choosing.
This article on MSDN explains the process in more detail, and even includes some sample code:
How to: Host Controls in Windows Forms DataGridView Cells
You can also find a complete sample on Code Project: Generic DataGridView V2.0