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We extend the scheme developed in B. D\"uring, A. Pitkin, "High-order compactfinite difference scheme for option pricing in stochastic volatility jumpmodels", 2019, to the so-called stochastic volatility with contemporaneousjumps (SVCJ) model, derived by Duffie, Pan and Singleton. The performance ofthe scheme is assessed through a number of numerical experiments, usingcomparisons against a standard second-order central difference scheme. Weobserve that the new high-order compact scheme achieves fourth orderconvergence and discuss the effects on efficiency and computation time.

High-order compact finite difference scheme for option pricing in stochastic volatility with contemporaneous jump models