Spider Rose by Bruce Sterling. It was published in 1982 and it has been collected many times. If you read it in the 80s I would guess you read it in Sterling's collection Crystal Express.
The eponymous Spider Rose has indeed found an asteroid sized jewel:
It had been the find of a lifetime. It had started existence as part of a glacierlike ice moon of the protoplanet Uranus, shattering, melting, and recrystallizing in the primeval eons of relentless bombardment. It had cracked at least four different times, and each time mineral flows had been forced within its fracture zones under tremendous pressure: carbon, manganese silicate, beryllium, aluminum oxide.
...
The rest was . . . changed. Mineral occlusions were now strings and veins of beryl, shading here and there into lumps of raw emerald big as Investors’ heads, crisscrossed with nets of red corundum and purple garnet. There were lumps of fused diamond, weirdly colored blazing diamond that came only from the strange quantum states of metallic carbon. Even the ice itself had changed into something rich and unique and therefore by definition precious.
The aliens are the Investors. Spider Rose keeps roaches as kind of pets, and seeing this the Investor offers her a pet in exchange of the asteroid (sorry for the long quotes but Sterling has a tendency to go on a bit):
She was asleep when it began to break free of the cocoon. She had set up monitors to warn her, however, and she rushed to it at the first alarm.
The cocoon was splitting. A rent appeared in the brittle overlapping sheets, and a warm animal reek seeped out into the recycled air. Then a paw emerged: a tiny five-fingered paw covered in glittering fur. A second paw poked through, and the two paws gripped the edges of the rent and ripped the cocoon away. It stepped out into the light, kicking the husk aside with a little human shuffle, and it grinned.
It looked like a little ape, small and soft and glittering. There were tiny human teeth behind the human lips of its grin. It had small soft baby’s feet on the ends of its round springy legs, and it had lost its wings. Its eyes were the color of her eyes. The smooth mammalian skin of its round little face had the faint rosy flush of perfect health.
It jumped into the air, and she saw the pink of its tongue as it babbled aloud in human syllables. It skipped over and embraced her leg. She was frightened, amazed, and profoundly relieved. She petted the soft perfect glittering fur on its hard little nugget of a head.
“Fuzzy,” she said. “I’m glad. I’m very glad.”
“Wa wa wa,” it said, mimicking her intonation in its piping child’s voice. Then it skipped back to its cocoon and began to eat it by the double handful, grinning.
She understood now why the Investors had been so reluctant to offer their mascot. It was a trade item of fantastic value. It was a genetic artifact, able to judge the emotional wants and needs of an alien species and adapt itself to them in a matter of days.
The story goes as you say, and after she has eaten all the roaches she finally has to eat her new pet:
When the roaches—or at least all those she could trap in the darkness—were gone, she fasted for a long dark time. Then she ate her pet’s undecayed flesh, half hoping even in her numbness that it would poison her.
The story ends:
A living whiteness oozed from her lips and nostrils. Her skin tingled at its touch, and it flowed over her eyeballs, sealing and soothing them. A great coolness and lassitude soaked into her as wave after wave of translucent liquid swaddled her, gushing over her skin, coating her body. She relaxed, filled with a sensual, sleepy gratitude. She was not hungry. She had plenty of excess mass.
In eight days she broke from the brittle sheets of her cocoon and fluttered out on scaly wings, eager for the leash.
