With increasing environmental concerns, the electrification of transportation plays an outstanding role in the sustainable development. In this context, Plug-in Electric Vehicle (PEV) and demand response have indispensable impacts on the future smart grid. Since integration of PEVs into the grid is a key element to achieve sustainable energy systems, this paper presents the optimal behavior of PEV parking lots in the energy and reserve markets. To this end, a model is developed to derive optimal strategies of parking lots, as responsive demands, in both price-based and incentive-based Demand Response Programs (DRPs). The proposed model reflects the impacts of different DRPs on the operational behavior of parking lots and optimizes the participation level of parking lots in each DRP. Uncertainties of PEVs and electricity market are also considered by using a stochastic programming approach. Numerical studies indicate that the PEV parking lots can benefit from the selective participation in DRPs.