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Words Of Wisdom said:

No.

Let's analyze:

They're bluffing They will kill the family
I jump I die, family lives I die, family dies
I don't jump I live, family lives I live, family dies

If they're going to kill my family then it doesn't matter whether or not I jump.  If they're bluffing on the death threat then I live as long as I don't jump.

Best Outcome
Worst Outcome

 

Dominant strategy for the win! Great useage of game theroy/prisoners dillemma right there.