<PAGE>   1
                              MESA AIR GROUP, INC.                     Exhibit 4

                          KEY OFFICER STOCK OPTION PLAN


1.       PURPOSE OF THE PLAN; TYPE OF PLAN

         (a) General Purpose. The purpose of the Key Officer Stock Option Plan
(the "Plan") is to compensate the new Chief Executive Officer and Chief
Financial Officer with stock options ("Options") to induce their entry into
employment agreements with salaries substantially below industry norm. Without
the Plan, the Board of Directors does not believe it can attract the caliber of
officers necessary to assist in the Company's restructuring. An extremely
competitive market currently exists for senior executive officers and valuable
stock options owned by senior management of competitors of the Company which
would be forfeited upon departure make a generous stock option plan necessary to
attract key officers.

         (b) Designation of Stock Options as Non-Qualified Stock Options. Stock
options granted under the Plan (the "Options") shall not be treated as incentive
stock options under Section 422 of the Internal Revenue Code of 1986, as amended
(the "Code").

         (c) Exemption from Short-Swing Liability. Options granted to the Chief
Executive Officer and Chief Financial Officer pursuant to this Plan shall be
exempt from Section 16(b) of the Securities Exchange Act of 1934, as amended
(the "Exchange Act").

         (d) Administration. This Plan may be administered by the Board of
Directors of the Company (the "Board"), by the Compensation Committee or by any
person or persons chosen by a majority of the Board. Grants or awards made
pursuant to this Plan are to be made pursuant to the formula set forth in
Section 3 (the "Formula").

2.       STOCK AND MAXIMUM NUMBER OF SHARES SUBJECT TO PLAN

         (a) Description of Stock and Maximum Shares Allocated. The stock
subject to the provisions of this Plan and issuable upon exercise of the Options
are shares of the Company's Common Stock, no par value, which may be either
unissued or treasury shares, as the Board may from time to time determine.
Subject to adjustment as provided in Section 6, the aggregate number of shares
of Common Stock covered by the Plan issuable upon exercise of all Options shall
be one million six hundred thousand (1,600,000) shares, which shares shall be
reserved for issuance upon the exercise of the Options. (The shares available
for Options and all other shares of Common Stock of the Company shall be
referred to as the "Shares.")

         (b) Restoration of Unpurchased Shares. If an Option expires or
terminates for any reason prior to its exercise in full before the term of the
Plan expires, the Shares subject to, but not issued under, such Option shall
again be available for other Options hereafter granted.
<PAGE>   2
3.       FORMULA AND OPERATION OF THE PLAN

         (a) Eligible Persons. Options shall be granted solely to the Chief
Executive Officer and Chief Financial Officer ("Key Officers"). (b) Date of
Grants; Allotment; Adjustment.

         (b) One million (1,000,000) Options shall be granted to the Chief
Executive Officer on March 13, 1998 and one hundred fifty thousand (150,000)
Options shall be granted to the Chief Executive Officer on April 1, 1999 and on
April 1, 2000 (for a total grant of one million three hundred thousand
(1,300,000) Options). Three hundred thousand Options shall be granted to the
Chief Financial Officer as follows: one hundred fifty thousand Options (150,000)
on April 13, 1998; seventy-five thousand (75,000) Options on April 1, 1999; and
seventy-five thousand (75,000) Options on April 1, 2000. (Options granted on
March 13, 1998 to the Chief Executive Officer and on April 13, 1998 to the Chief
Financial Officer shall be referred to herein as the "Initial Options." Options
granted annually shall be referred to herein as the "Annual Options." Each of
the dates on which Options are granted shall be referred to herein as the "Grant
Date.")

         (c) Price. The Option price per Share shall not be less than the fair
market value of the Shares, as defined below, on the Grant Date.

         (d) Fair Market Value. The fair market value of the Shares granted on
March 13, 1998 shall be the closing asked price as furnished by NASDAQ on March
13, 1998. The fair market value of all other Shares granted on any particular
day shall be determined as follows:

                  (i) If the Shares are listed or admitted to trading on any
         securities exchange, the fair market value shall be the average sales
         price on such day on the New York Stock Exchange, or if the Shares have
         not been listed or admitted to trading on the New York Stock Exchange,
         on such other securities exchange on which such stock is then listed or
         admitted to trading, or if no sale takes place on such day on any such
         exchange, the average of the closing bid and asked price on such day as
         officially quoted on any such exchange;

                  (ii) If the Shares are not then listed or admitted to trading
         on any securities exchange, the fair market value shall be the average
         sales price on such day or, if no sale takes place on such day, the
         average of the reported closing bid and asked price on such date, in
         the over-the-counter market as furnished by the National

         Association of Securities Dealers Automated Quotation ("NASDAQ"), or if
NASDAQ at the time is not engaged in the business of reporting such prices, as
furnished by any similar firm then engaged in such business and selected by the
Board; or

                  (iii) If the Shares are not then listed or admitted to trading
         in the over-the-counter market, the fair market value shall be the
         amount determined by the Board in a manner consistent with Treasury
         Regulation Section 20-2031-2 promulgated under the Code or in such
         other manner prescribed by the Secretary of the Treasury or the
         Internal Revenue Service.

                                       2
<PAGE>   3
         (e) Duration of Plan; Term of Option. The term of the Plan, unless
previously terminated by the Board, is three (3) years or March 13, 2001. No
Option shall be granted under the Plan unless granted within three years after
the adoption of the Plan by the Board, but Options outstanding on that date
shall not be terminated or otherwise affected by virtue of the Plan's
expiration. Except as otherwise indicated in Section 5, all Options
automatically expire ten (10) years from the date of grant.

         (f) Vesting of the Options. One-third of the Initial Options granted on
a Grant Date shall vest on the Grant Date; one-third of the Initial Options
shall vest on the first anniversary date after the Grant Date; and the remaining
one-third of the Initial Options shall vest on the second anniversary date after
the Grant Date. One-third of the Annual Options granted on a Grant Date shall
vest on the first anniversary after the Grant Date; one-third of the Annual
Options granted on a Grant Date shall vest on the second anniversary after the
Grant Date; and the remaining one-third of Annual Options granted on a Grant
Date shall vest on the third anniversary after the Grant Date.

NOTWITHSTANDING ANY PROVISION HEREIN TO THE CONTRARY, OPTIONS GRANTED TO THE KEY
OFFICERS SHALL NOT BECOME EXERCISABLE UNTIL SHAREHOLDER APPROVAL AS REQUIRED BY
SECTION 4(a) OF THE PLAN HAS BEEN OBTAINED.

4.       TERMS AND CONDITIONS OF OPTIONS

         (a) Approval by Shareholders. The Plan shall be submitted to the
shareholders of the Company for their approval at a meeting to be held within
twelve (12) months after the adoption of the Plan by the Board. Shareholder
approval shall be evidenced by the affirmative vote of the holders of a majority
of the Shares of Common Stock present in person or by proxy and voting at the
meeting. If the shareholders decline to approve the Plan at such meeting or if
the Plan is not approved by the shareholders within twelve (12) months after its
adoption by the Board, the Plan and all Options and rights granted hereunder
shall automatically terminate to the same extent and with the same effect as
though the Plan had never been adopted.

         (b) Amendments to Plan. The approval of the shareholders of the Company
shall be required to (i) increase the aggregate number of shares of Common Stock
subject to the Plan; (ii) change the class of persons eligible to receive
Options; (iii) modify the period within which Options may be granted, the
exercise price or the terms upon which Options may be exercised; (iv) change the
exercise price of the Options except as provided in Section 6; or (v) increase
the material benefits accruing to participants under the Plan. (Collectively,
each of these changes in the Plan are referred to herein as "Material
Amendments.") The Board may suspend or terminate the Plan at any time.

         (c) Individual Agreements. Options granted under the Plan shall be
evidenced by agreements in such form as the Board from time to time approves,
which agreements shall substantially comply with and be subject to the terms of
the Plan.

                                       3
<PAGE>   4
         (d) Required Provisions. Each agreement shall state (i) the total
number of shares to which it pertains, (ii) the exercise price for the shares
covered by the option, (iii) the time at which the option becomes exercisable,
(iv) the scheduled expiration date of the option, (v) the vesting period(s) for
such options, and (vi) the timing and conditions of issuance of any stock option
exercise.

         (e) No Fractional Shares. Options shall be granted and exercisable only
for whole shares; no fractional shares will be issuable upon exercise of any
Option granted under the Plan. Fractional Options shall be rounded down to the
nearest whole share number.

         (f) Method of Exercising Options. Options shall be exercised by written
notice to the Company, addressed to the Company at its principal place of
business. Such notice shall state the election to exercise the option and the
number of shares with respect to which it is being exercised, and shall be
signed by the person exercising the option. Such notice shall be accompanied by
payment in full of the exercise price for the number of Shares being purchased.
Payment may be made in cash or by bank cashier's check or by tendering duly
endorsed certificates for shares of the Company's Common Stock then owned by the
optionholder. The Company shall deliver a certificate or certificates
representing the Option Shares to the purchaser as soon as practicable after
payment for those Shares has been received. If an Option is exercised by any
person other than the optionholder, such notice shall be accompanied by
appropriate proof of the right of such person to exercise the Option. All Shares
that are purchased and paid for in full upon the exercise of an Option shall be
fully paid and non-assessable. The Board may determine that payment upon the
exercise of an Option may be made with Shares owned by the Key Officer having a
fair market value (as determined in Section 3(d)) on the exercise date
equivalent to the amount of payment, or any combination of cash and such Shares
equal to such amount.

         (g) No Rights of a Shareholder. An optionholder shall have no rights as
a shareholder with respect to shares covered by an Option. No adjustment will be
made for cash dividends for which the record date is prior to the date a stock
certificate is issued upon exercise of an Option. Upon such exercise of an
Option, the holder of the Shares of Common Stock so received shall have all the
rights of a shareholder of the Company as of the date of issuance.

5.       TERMINATION OF EMPLOYMENT; ASSIGNABILITY; DEATH

         (a) Termination of Employment. If any Key Officer ceases to be an
Employee and if the Key Officer serves as a director then also ceases to be a
director of the Company, other than by reason of death, disability, termination
by the Company "Without Good Cause," (as such terms are defined in Section
7.2(iii) of their employment agreements) termination by the Employee for "Good
Reason," (as such terms are defined in Section 7.4(i) of their employment
agreements) or discharge for good cause, such holder (or his successors in the
case of the holder's death which results in the termination of employment) may,
within three (3) months after the date of termination, or, if the Key Officer is
a director, within three (3) months after removal or resignation as a director,
whichever is later, but in no event after the stated expiration date, purchase
some or all of the Shares with respect to which such optionholder was entitled
to

                                       4
<PAGE>   5
exercise such Option on the date employment terminated, or on the date his
directorship ended, whichever is later.

         (b) Assignability. No Option or the privileges conferred thereby shall
be assignable or transferable by a holder other than by will or the laws of
descent and distribution.

         (c) Disability. If the Key Officer is removed as an Employee due to
disability, the Key Officer may exercise the Options, in whole or in part, to
the extent they were exercisable on the date when the Key Officer's employment
terminated, at any time prior to the expiration date of the Options or within
one (1) year of the date of removal, whichever is earlier.

         (d) Discharge for Good Cause. If a Key Officer is removed as an
Employee of the Company for good cause, the Options shall terminate upon the
effective date of the removal. The Board shall have the right to determine
whether the Key Officer has been discharged for good cause for purposes of the
Plan and the date of such discharge.

         (e) Termination Without Good Cause or For Good Reason. If the Chief
Executive Officer or Chief Financial Officer is terminated by the Company
"Without Good Cause" (as such terms are defined in Section 7.2(iii) of their
employment agreements) or if the Chief Executive Officer or Chief Financial
Officer terminates his employment for "Good Reason" (as such terms are defined
in Section 7.4(i) of their employment agreements) (referred to herein as the
"Terminated Officer"), all of the Options granted to the Terminated Officer
prior to his termination shall vest immediately upon termination and the
Terminated Officer shall have until the expiration term of the Options to
exercise them.

         (f) Death of Holder. If Key Officer dies while serving as an Employee,
an Option shall be exercisable until the stated expiration date thereof by the
person or persons ("successors") to whom the holder's rights pass under will or
by the laws of descent and distribution, but only to the extent that the holder
was entitled to exercise the Option at the date of death. An Option may be
exercised (and payment of the Option price made in full) by the successors only
after written notice to the Company, specifying the number of shares to be
purchased. Such notice shall comply with the provisions of Section 4(f).

6.       CERTAIN ADJUSTMENTS

         Except as limited by Section 422 of the Code, the aggregate number of
Shares subject to the Plan, the number of Shares covered by outstanding Options,
and the price per share stated in such Options shall be proportionately adjusted
for any increase or decrease in the number of outstanding Shares of Common Stock
of the Company resulting from a subdivision or consolidation of shares or any
other capital adjustment or the payment of a stock dividend or any other
increase or decrease in the number of such shares effected without receipt by
the Company of consideration therefor in money, services or property.

7.       COMPLIANCE WITH LEGAL REQUIREMENTS

                                       5
<PAGE>   6
         (a) For Investment Only. If, at the time of exercise of this Option,
there is not in effect as to the Option Shares being purchased a registration
statement under the Securities Act of 1933, as amended (or any successor
statute) (collectively the "1933 Act"), then the exercise of this option shall
be effective only upon receipt by the Company from the Key Officer (or his legal
representatives or heirs) of a written representation that the Option Shares are
being purchased for investment and not for distribution.

         (b) Registration Statement Preparation. The Key Officer hereby agrees
to supply the Company with such information and to cooperate with the Company,
as the Company may reasonably request, in connection with the preparation and
filing of the registration statements and amendments thereto under the
Securities Act of 1933 and applicable state statutes and regulations applicable
to the Option Shares. The Company shall not be liable for failure to issue any
such Option Shares where such opinion of counsel cannot be obtained within the
period specified for the exercise of the Option, or where such registration is
required in the opinion of counsel. If shares of Common Stock of the Company
are, at the time of the exercise of this Option, listed upon a securities
exchange, the exercise of this Option shall be contingent upon completion of the
necessary steps to list the Option Shares being purchased upon such securities
exchange.

         (c) Additional Restrictions on Option Exercise. Key Officer may only
exercise Options during the period commencing three (3) business days following
the release for publication of quarterly or annual financial information
regarding the Company and ending two weeks prior to the end of the then current
fiscal quarter of the Company (the "Release Period").

         A "release for publication" shall be deemed to be satisfied if the
specified financial data appears:

                  (i)      On a wire service;

                  (ii)     A financial news service;

                  (iii)    In a newspaper of general circulation; or

                  (iv)     Is otherwise made publicly available.

         Notwithstanding any provision to the contrary contained herein, a Key
Officer may exercise Options only so long as such exercise does not violate the
law or any rule or regulation adopted by the appropriate governmental authority.

8.       MISCELLANEOUS

         (a) No Funding. This Plan shall be unfunded. The Company shall not be
required to establish any special or separate fund or to make any other
segregation of assets to assure any payment under the Plan.

                                       6
<PAGE>   7
         (b) Nevada Law. The Plan and the Options shall be governed by the laws
of the State of Nevada.

         (c) Modification of Grant, Vesting Date. Should April 1 in any given
year fall on a day on which trading in the Shares is closed, the action which
would have taken place on April 1 shall be delayed until the first day after
April 1 that trading in the Shares commences.

         (d) Withholding of Taxes. The Company shall have the right to deduct
from any other compensation of the Key Officer any federal, state or local
income taxes (including FICA) required by law to be withheld with respect to the
granting or exercise of any Options.

         DATED as of the 1st day of June, 1998 and effective as of March 13,
1998.

MESA AIR GROUP, INC.


By: /s/ Paul R. Madden
--------------------------------
Paul R. Madden
Chairman of the Board

ATTESTED BY:


By: /s/ Gary E. Risley
--------------------------------
     Gary E. Risley
     Secretary


                                       7