The most common reasons for a cell phone to explode are using it while the phone is being charged and 'call bombing'. Charging puts pressure on the motherboard of the phone, using it during charging increases this pressure manifold. This causes the cheap electronic components in some mobiles to explode. Call bombing refers to calls or missed calls received from international numbers. If one receives or calls these numbers back and the call exceeds a certain amount of time, the phone will blast.
There is also a malware, or bug, found in some Android-based smartphones, that can also cause explosion by exerting extra pressure on the motherboard during charging.
