documentclass{article}
usepackage{multirow,array}
begin{document}
begin{table}
setlength{extrarowheight}{2pt}
begin{tabular}{cc|c|c|}
  & multicolumn{1}{c}{} & multicolumn{2}{c}{Player $Y$}\
  & multicolumn{1}{c}{} & multicolumn{1}{c}{$A$}  & multicolumn{1}{c}{$B$} \cline{3-4}
  multirow{2}*{Player $X$}  & $A$ & $(x,y)$ & $(x,y)$ \cline{3-4}
  & $B$ & $(x,y)$ & $(x,y)$ \cline{3-4}
end{tabular}
end{table}
end{document}