Unfortunately, stabbing yourself does not really work. Your survival instinct is quite strong so it is quite difficult to make yourself actually go through the motions. You also have to have pretty good aim to make sure that you hit your heart directly or else you are going to bleed out very slowly, which gives you time to think and call for help.
Your title is about jumping from a bridge. That can also be difficult due to strong survival instinct, but is probably a more viable method than stabbing yourself.