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You can buy "Mississippi Madam: The Life of Nellie Jackson" on Amazon Video as download or rent it on Amazon Video online.
In 1902 Nellie Jackson, an African-American woman born into poverty in Possum Corner, Miss., travels north to Natchez and opens "Nellie's," a brothel she ran for more than 60 years with full knowledge of police and Natchez officials until a fiery end one hot July night in 1990.