The Final Solution by Michael Chabon and A Slight Trick of Mind by Mitch Cullin are both on my to-read list and feature an elderly Holmes in the 1930s and 1940s, though Chabon's book just calls him "the old man" and doesn't explicitly say he's Sherlock Holmes.
The Adventures of the Peerless Peer by Philip Jose Farmer also features Holmes and Watson (and Lord Greystoke!) but Holmes is more like a Farmer character than anything written by Doyle. It's part of Farmer's Wold Newton universe where all of the famous pulp and literary heroes are part of the same family tree. I didn't really care for the book
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