  We derive a new high-order compact finite difference scheme for option
pricing in stochastic volatility models. The scheme is fourth-order accurate in
space and second-order accurate in time. Under some restrictions, theoretical
results like unconditional stability in the sense of von Neumann are presented.
Where the analysis becomes too involved we validate our findings by a numerical
study. Numerical experiments for the European option pricing problem are
presented. We observe fourth-order convergence for non-smooth payoff.
