Every lease for residential premises in the state of New York carries with it an implied warranty that the space is fit for human habitation. That said, there is quite likely no court that will hold that a landlord cannot first try standard remedies such as those already recommended in this thread before calling an exterminator.
If you saw a few roaches and stop paying rent, you will quite likely find yourself the defendant in an eviction proceeding in which case you will need an attorney (not me).
I would recommend to first give the landlord a chance to cure the problem. You cannot get rid of roaches in one day.
Note well: an exterminator may possibly determine that the source of the roaches was your apartment. Then what?