An air tank and goggles might not be a bad idea (not O2 though, just air)
But a parachute might work. If it's between getting roasted alive and taking a chance on a building jump, I'd go for it.
You would need to be trained at jumping from a plane, and have a high quality chute that you can maneuver. Run as fast as you can off the roof to pick up as much horizontal velocity as possible (since horizontal and vertical velocity are independent of one another). Your forward momentum should carry you away from the building.
It's better odds than nothing.
Google is your friend.
Apparently they do make them....
http://www.sosparachute.com/en/site/sos
http://www.dailymail.co.uk/sciencet...igh-rise-office-workers-escape-emergency.html