Security issue is of paramount importance yet significant challenge for wireless communications, and this problem can be even more intricate when facing with a full-duplex adversary. In this paper, we investigate the physical layer security of a legitimate transmission link in the presence of a full-duplex active eavesdropper, who is capable to perform eavesdropping and jamming simultaneously. The legitimate user aims at a target secrecy rate while the eavesdropper intends to maximize its wiretap rate. To this end, the eavesdropper imposes a jamming signal at the legitimate receiver to stimulate higher-power legitimate transmissions and thus facilitates its eavesdropping. This, however, generates residual self-interference at the eavesdropper itself and is subject to a linear price for the jamming power. The problem is then formulated within a game-theoretic framework, where the closed-form strategies of both the legitimate user and active eavesdropper are obtained. Moreover, we analyze the performance in terms of secrecy outage probability for the legitimate link in such a hostile situation. Also provided are the simulation results which validate our theoretical analysis.