sorry, I just saw that you said "contemporary."

Charlotte Perkins Gilman:
http://www.amazon.com/Yellow-Wallpaper-Stories-Thrift-Editions/dp/0486298574/ref=sr_1_1?ie=UTF8&qid=1412631492&sr=8-1&keywords=yellow+wallpaper

Kate Chopin
http://www.amazon.com/Awakening-Selected-Stories-Chopin-Classics/dp/0451524489/ref=asap_B000AQ8SNA_1_2?s=books&ie=UTF8&qid=1412625108&sr=1-2

Edith Wharton:
http://www.amazon.com/Short-Stories-Dover-Thrift-Editions/dp/048628235X/ref=sr_1_1?s=books&ie=UTF8&qid=1412631624&sr=1-1&keywords=edith+wharton+short+stories

Lucy Maud Montgomery:
http://www.amazon.com/Lucy-Maud-Montgomery-Short-Stories-ebook/dp/B0082P907O/ref=sr_1_1?s=books&ie=UTF8&qid=1412631688&sr=1-1&keywords=lucy+maud+montgomery+short+stories+1896+to+1901+lucy+maud+montgomery

OP here. Thanks DCUM! I posted this same query on FB and got the following suggestions:

Tales of the New World, by Sabine Murray
Everything Ravaged, Everything Burned, by Wells Tower
"Our Lady of the Massacre," by Angela Carter
"Standing Room Only" and "Booth's Ghost" by Karen Joy Fowler

"A Short History of Women" by Kate Walbert is a series of connected short stories and some of those stories are set in the Victorian era.

+1 on The View from Castle Rock.

There was a review on NPR sometime in recent-ish memory about a short story collection that was historical but I'm still looking for the title. None of the books on the NPR web site looked like I remember the review.

The View from Castle Rock by Alice Monroe -- parts of it are pre-20th c. and it's really really good.

Tough to find a short story writer who works in historical fiction.

Looking for recommendations for contemporary short stories set in a historical (pre-20th century) time. Any suggestions?