The correct option is A momentum of the system is conserved in all cases.
During explosion, the net force acting on the body is the weight of the system (fragments or particles of the body) which is mg, where m is the mass of the body.
In this case, the change in momentum of the system (exploded particles) due to gravitational force (weight mg) is negligible.
⇒ΔP=∫Δt0Fextdt
⇒ΔP=FextΔt where Fext=mg
Since Δt→0,ΔP→0
So, the momentum of the system before and after the impact remains the same.
When cannon shell explodes in mid air, it produces some energy in the explosion. We cannot say it will always increase the kinetic energy of the system.
So, option (a) is correct.