A Smart grid is a modern electricity delivery system. It is an integration of energy systems and other necessary elements including traditional upgrades and new grid technologies with renewable generation and increased consumer storage. It uses information and communication technology (ICT) to operate, monitor and control data between the generation source and the end user. Smart grids have duplex power flow and communication to achieve high efficiency, reliability, environmental, economics, security and safety standards. However, along with unique facilities, smart grids face security challenges such as access control, connectivity, fault tolerance, privacy, and other security issues. Cyber-attacks, in the recent past, on critical infrastructure including smart grids have highlighted security as a major requirement for smart grids. Therefore, cryptography and key management are necessary for smart grids to become secure and realizable. Key management schemes are processes of key organizational frameworks, distribution, generation, refresh and key storage policies. Currently, several secure schemes, related to key management for smart grid have been proposed to achieve end-to-end secure communication. This paper presents a comprehensive survey and discussion on the current state of the key management of smart grids.