$('select[name=My_Saved_Billing] > option:first-child')
.text('Select Address');
If you want to find the empty option (s), and not just the first one, use:
$('select[name=My_Saved_Billing] > option:empty')
// or
$('select[name=My_Saved_Billing] > option:empty:first')
To get an option with specific content, use:
$('select[name=My_Saved_Billing] > option:contains(texthere)')
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