Physical layer security is an emerging security area that explores possibilities of achieving perfect secrecy data transmission between the intended network nodes, while possible malicious nodes that eavesdrop the communication obtain zero information. The so-called secrecy capacity can be improved using friendly jammers that introduce extra interference to the eavesdroppers. Here, we investigate the interaction between the multiple source-destination links and a friendly jammer who assists by “masking” the eavesdropper. In order to obtain a distributed solution, one possibility is to introduce a distributed auction theoretic approach. The auction is defined such that the source-destination links provide bids for the jammer to interfere the eavesdropper, therefore increasing their secrecy capacities. We propose a distributed auction using the share auction and iteratively updating the bids. To compare with the performances, we construct a centralized solution and a VCG auction, which cannot be implemented in practice. Our analysis and simulation results show the effectiveness of friendly jamming and convergence of the proposed scheme. The distributed game solution is shown to have similar performances to those of the centralized ones.