This is another one of those features which people cry for. You have that option on Lists via the advanced settings but not on libraries. WTF?
Well, it has to do with the implementation of that feature. Which is pretty bad by the way. The edit only your own setting does not integrate into the permission model but is a final check before an item is saved. Thus it does not work well with items which can be saved without the use of an application page, like from within word directly.
There are some blogs out there suggesting reactivating the feature on libraries using some code and following functions
but that does not get around people saving directly from within office.
Thus the only way right now to achieve something proper and stable is to create an event handler catching the modified event which checks who the creator was and responds accordingly.